Manager - Deals - Pricing Model Quant - London
Posted on Jan 20, 2019 by PWC-1
About the team
Are you a Pricing Model Quant with experience in the front office of an investment bank? Are you experienced in the valuation and risk management of financial derivatives and understand model governance? We have an excellent opportunity for you to join our Market Value Direct team - the firm's financial instruments valuation and advisory team.
The Market Value Direct team is part of the Valuations practice. It provides financial instrument valuation and model governance advisory services to the firm's clients as well as valuation services internally. The MVD team values instruments from liquid traded shares and bonds through to complex derivatives along with related valuation adjustments. The team also engages in model design, implementation, documentation, validation and validation review activities.
About the role
You will be a Senior Manager within the London based team working with our existing team of modelling and pricing specialists. The role will offer you the opportunity to work in a fast paced business alongside a team which has grown significantly over the last 12 months and continues to grow in terms of size, revenue and areas of work.
Key responsibilities will include
- Providing expert assistance for the team's testing of clients' financial instrument valuations, across a wide range of instrument types and product classes, including valuation adjustments.
- Building and/or reviewing internal pricing models for exotic instruments in Numerix, or other platforms and help the team with on-boarding third party provided models.
- Providing expert assistance to the teams software developers on an existing codebase (Python & .Net)
- Leading in areas of business development, practice development and strategy - due to the high growth nature of the business this will be a key component of the role.
As a Senior Manager you will take a lead in the team's banking model services proposition, including
- Assisting clients across the entire model lifecycle (design implementation, validation and risk)
- Examining conceptual soundness; reviewing and challenging underlying assumptions, theory, data and limitations of the models.
- Writing detailed, structured and clear model documentation for 1st and 2nd line client projects.
- Performing assessment of model governance, validation policies and control processes and advising best practice approaches.
Essential skills and experience
- A PHD in engineering, physics, maths, quantitative finance or an allied field preferred, BA and MA holders will also be considered
- Strong people management and client relationship skills.
- Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.
- Strong analytical skills and attention to detail but tempered with an ability to think laterally.
- Excellent communication skills and the ability to present complex issues in a clear and articulate way to a non-technical audience.
- Ability to multi-task across multiple assignments, prioritise workloads and work under time pressure.
- A deep understanding of derivative pricing including the related XVA's
- Theoretical understanding and hands on experience in developing mathematical models
- Good understanding of model governance including development and validation documentation requirements
- Good working knowledge of C++ and/or Python
- Familiarity with source control, ideally GIT
- Familiarity with MATLAB & VBA preferred
- Previous experience using Numerix is desired but not a prerequisite
Our Deals business is an exciting, fast-paced and an ever-growing business that focuses on deals and crisis situations for our clients. Collectively, we deal with the types of situations you hear about regularly in the news and we provide support, insight and analysis to the management, shareholders and financiers of business.
The skills we look for in future employees
All our people need to demonstrate the skills and behaviours that support us in delivering our business strategy. This is important to the work we do for our business, and our clients. These skills and behaviours make up our global leadership framework, 'The PwC Professional' and are made up of five core attributes; whole leadership, technical capabilities, business acumen, global acumen and relationships.
We work in a changing world which offers great opportunities for people with diverse backgrounds and experiences. We seek to attract and employ the best people from the widest talent pool, as well as those who reflect the diverse nature of our society. And we aim to encourage a culture where people can be themselves and be valued for their strengths. Creating value through diversity is what makes us strong as a business and as an organisation with an increasingly agile workforce, we're open to flexible working arrangements where appropriate.
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