Quantitative Research Analyst
No of Jobs
The candidate will work with other experienced quantitative analysts, developers and product specialists to support and develop derivatives pricing models for the Portfolio Valuations business. Markit Portfolio Valuations is an award winning service providing independent, post-trade valuations to buy-side institutions globally, covering vanilla and exotic derivatives, cash instruments and structured notes across all asset classes.
This role will focus on support for derivatives valuation across asset classes, particularly focusing on shorter term development and acting as an escalation/resolution point for price challenges.
Duties & Accountabilities
- Contribute to improvements on existing models and processes used daily by Portfolio Valuation analysts
- Provide support and quantitative expertise to the PV team, particularly concerning price challenges, daily process issue resolution and bespoke development requests.
- Work with other quants, product specialists and developers to develop new models as required by the PV business for a broad range of products including cash, vanilla and exotic derivatives primarily within Interest Rates and Credit asset classes.
- Detail oriented and self-starter
- Ability to clearly communicate sophisticated concepts
- Ability to work in a team environment, and across different functional teams
- MSc/PhD in a quantitative subject e.g. Math, physics, computer science
- Experience with derivatives pricing models and/or risk models.
- Knowledge of mathematical finance, stochastic calculus, probability theory, PDEs
- Experience with numerical methods such as Monte Carlo, Finite Differences
- Familiarity with object oriented programming (eg. Java / C++)
- Strong problem solving skills
- High level of attention to detail