Purpose of Role
- The Global Quantitative Analytics team which is responsible for pricing, execution, and risk management models across NatWest Markets. The Fixed Income Flow and ePricing team is responsible for the pricing models and risk calculations for products like swaps, bonds, and FX forwards.
- The role offers the opportunity to combine solving complex analytical problems with having a direct impact on day-to-day trading activity. Work is done in close cooperation with the trading and IT departments
What does this role holder do? (Accountabilities)
Key Responsibilities include:
- Develop pricing and trading models for Flow Fixed Income products (interest curve calibrations, bond pricing, etc.)
- Write efficient implementations of the models in the global Quant team C++ library
- Participate in testing of implementations and back testing of effectiveness of our models on historical data using Excel and Python
- Work closely with trading desks to develop and improve pricing and risk management tools
- Be at the forefront of new pricing and risk calculation methods to adapt to market and regulatory environment changes (for example Libor discontinuation and FRTB)
- Support existing implementations and help trading using models correctly
What are the skills, knowledge and experience needed to do the role?
- Excellent problem solving and analysis skills
- Strong mathematical background, preferably with good knowledge in the following disciplines – probability, quantitative finance, numerical methods, multivariate statistics, econometrics, optimisation, time series analysis.
- Strong product knowledge, particularly on linear rates products (bonds, swaps), interest rate curves, flow vol products (swaptions, mid-curves, cms spread options), and light exotics (Bermudans)
- Excellent programming skills. Knowledge of OO programming preferably in C++
- Excellent communication skills
- A Masters/Doctoral degree in a STEM (Science, Technology, Engineering and Mathematics) subject from a premier academic institution
- 3+ years experience working on derivatives pricing models
- Experience with pricing models used for fixed income flow products such as; bond pricing, interest rate curve calibration, etc.
It is the policy of NatWest Markets Securities Inc. and its parent, affiliates and/or subsidiaries to provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to race, color, ethnicity, religion, gender, sex, pregnancy/childbirth, age, national origin, sexual orientation, gender identity or expression, disability or perceived disability, genetic information, citizenship, veteran or military status, marital or domestic partner status, or any other category protected by federal, state and/or local laws. Equal Opportunity Employer -Disabled/Veteran – review "EEO Is The Law", "EEO is the law- Supplement" & "Pay Transparency Provision" posters here.