NatWest Markets logo

Senior Quantitative Analyst, Pricing Models

Ref: R-00099379
Warszawa, Poland | Full Time | Permanent | Control, Oversight & Assurance
Posted about 1 month ago. Closing date for applications: 29/06/2020

Join us as a Senior Quantitative Analyst, Pricing Models

  • This challenging technical role will task you with providing independent review and validation of models across NatWest Markets
  • You’ll be undertaking the review and validation of models for derivative product valuation, regulatory stress testing and regulatory Prudential Valuation
  • This is a great opportunity to build strong relationships across the bank, as you’ll be joining a collaborative and supportive work environment
  • We're offering this role at Vice President level

What you'll do

As a Senior Quantitative Analyst, you’ll be making sure that models are appropriate for designated uses, and that significant model risks are identified and effectively communicated to senior management and model end-users.

You’ll also be supporting projects through frequent communication with internal stakeholders, and by developing a good understanding of business issues, and regulatory requirements.

Day-to-day, you’ll be:

  • Supporting periodic model review, including model performance assessment
  • Performing model risk analysis to satisfy regulatory queries and requirement
  • Delivering activities to agreed timelines, prioritising the most urgent and important work, as well as planning and scheduling individual tasks within a project to achieve project objectives
  • Providing expert advice on aspects of risk management relevant to your area of expertise, including writing clear and concise reports, presenting findings and analysis conducted
  • Reporting on the findings of model risk management reviews in a manner fit for its audience, including senior management, regulators, model developers, and end-users

The skills you'll need

We’re looking for someone with experience of model review or model development of pricing models within rates derivatives, FX derivatives or xVA.

Crucial to your success in this role will be excellent problem solving and analytical skills and your ability to communicate with and influence senior management, and develop effective relationships with a range of internal and external stakeholders.

You’ll also need:

  • A postgraduate degree in a quantitative subject such as mathematics, physics or quantitative finance, or similar professional qualifications
  • Hands-on programming experience in C++, Python or R
  • Hands-on in-depth skills in advanced quantitative modelling, and knowledge of the associated risk management issues in a practical business context
  • Knowledge of pricing risk-model-related regulatory requirements
  • The ability to assist in team planning and prioritisation, including detailed planning of assigned projects within the team’s roadmap