Quantitative Analyst

London, United Kingdom
Permanent - Full Time
NatWest Markets
Job category
Front Office Markets Trading - Front Office Markets
Closing date for applications: 30/05/2021

Join us as a Quantative Analyst

  • The Global Quantitative Analytics team is responsible for pricing, execution, and risk management models across NatWest Markets
  • This role offers the opportunity to combine solving complex analytical problems, and having a direct impact on day-to-day trading activity
  • The work is done in close cooperation with colleagues in London and with the XVA Trading, Risk and IT departments

What you'll do

The XVA quant team is responsible for the development of XVA pricing model and analytics for products like swaps, bonds, and FX forwards. Recently it has added a mandate to develop and integrate counterparty credit risk model with XVA model in collaboration with Risk Quants.

You’ll be:

  • Working on pricing models for XVA and Counterparty Credit Risk
  • Designing the calculation methodology and performing the implementation in C++
  • Working with the global quant team to ensure model changes are in line with the global analytics C++ library design and framework
  • Participating in testing of implementations and back testing of effectiveness of our models on historical data
  • Demonstrating and explaining calculations to stakeholders in trading, risk and IT
  • Participating in various analytical requests from global trading teams

The skills you'll need

It would be desirable for you to have excellent programming skills, a good understanding of investment banking, financial derivative products and XVA, and knowledge and experience in Counterparty Credit Risk Modelling.

It’s essential that you have:

  • Excellent problem solving, computing and analysis skills
  • A strong mathematical background, preferably with good knowledge in the following disciplines, probability, quantitative finance, numerical methods, multivariate statistics, econometrics, optimisation, time series analysis
  • Excellent verbal and written communication skills to productively liaise with colleagues in London
  • A Masters or Doctoral degree in a STEM (Science, Technology, Engineering and Mathematics) subject from a premier academic institution

If you need any adjustments to support your application, such as information in alternative formats or special requirements to access our buildings, or if you’re eligible under the Disability Confident Scheme please contact us and we’ll do everything we can to help.