Reporting directly to the Director of ALM, this is a very exciting role for a challenge hungry Quants Analyst with 3 to 5 years experience!

Main Accountabilities:

Provide expert derivatives pricing, hedge execution and analytical capability, to facilitate risk identification, pricing and management of Market Risk across the Group. This involves:

• Development and testing of hedge strategies to remove market risk.
• Undertaking stress-testing analysis using monte-carlo techniques and probability theory to ensure the hedge is robust under all interest rate and behavioural outcomes.
• QRM System implementation experience essential.
• Development & Implementation of Models in QRM System.
• Develop and implement customer behaviour models to quantify, price and manage embedded optionality
• Assist in analysing risk within new product proposals. This includes undertaking high level feasibility analysis for proposed transactions, provision of expert market pricing and providing hedge advice on request.
• Directly influencing customer pricing strategy and product propositions, to create bespoke product versions to maximise profitability and demand.
• Feedback customer behavioural analytics in customer pricing, product design and hedging decisions in order to maximise revenue
• Undertake financial engineering for new product development for those products with complex embedded optionality
• Ensure all model development and testing in accordance with Model Risk Policy.

Strategic ALM Platform

• Assist in the delivery of a Group wide Strategic ALM modelling environment. This involves supporting the Project team in all aspects of functional and non functional testing, model migration including the build of new models.

Technical Skills:

• Rigorous experience in ALM or structuring /financial engineering. Must be fully proficient with the range of market instruments for hedging and be able to construct hedges using variety of instruments to remove risk.
• Ability to price (from first principles) interest rate swaps, caps, floors, swaptions, and FX options. Full understanding of factors affecting option prices, including volatility smiles adjustments.
• Expert understanding of pipeline risk, prepayment risk, option adjusted spread methodologies and approaches for removing this risk.
• Application of stochastic processes, including monte-carlo analysis of interest rates and other indices
• Must be able to assist the Divisions in structuring new product proposals and suggest methods
• Model development, validation and documentation expertise
• Solid and maintained knowledge of latest financial modelling techniques, product knowledge and the competitor environment
• In depth understanding of the drivers of value associated with the balance sheet.

Experience & Qualifications:

• Degree discipline should be in a Financial/Mathematics/Economics or related subject.
• Second Degree (preferred) either in a Financial/Mathematics/Economics or related subject