Quantitative Development Lead, VP

NatWest Group

Bengaluru

6-10 Years

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Posted 14 hours ago
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Job Description

What you'll do

As a Quantitative Development Lead, you'll be at the forefront of new pricing and risk calculation methods to adapt to market and regulatory environment changes such as Libor discontinuation and the Fundamental Review of the Trading Book. You'll also be collaborating with the Front Office Quants, Trading desks, Risk and Finance teams in London.

Your role will also involve:

Undertaking investigations in a logical and planned manner of a quantitative nature, drawing conclusions and presenting your work to peers and supervisors for assessment and feedback
Building a team that'll take ownership of and work on SAF client projects, including contributing to Front Office intra or end-of-day C++ pricing libraries
Helping to build out key components and packages in our in-house Python library
Disseminating or adopting best practices both within the team and when collaborating with Front Office Quants, Risk and Finance teams

The skills you'll need

We're looking for someone with a strong technical background in multi-asset class trade present value or Risk and P&L calculation and analysis, encompassing both risk and full revaluation based P&L from a front office perspective.

As well as a holding a degree in a STEM subject, you'll need at least 10 years of working experience, with at least six years Python or C++ programming experience.

You'll also need:

An understanding and development experience of derivative products, with the ability to explain different attributes for products and how cashflows and PV are calculated
An understanding and development experience of market data
Development experience in the front office Quant library, with a deep understanding of products and options pricing models for interest rate derivatives
A strong mathematical background, preferably with good knowledge in probability, quantitative finance, stochastic calculus, numerical methods, multivariate statistics, econometrics, optimisation and time series analysis
An understanding and development experience of market data, including how a curves and VOL surface are constructed from market quotes, and different models are used for construction

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About Company

NatWest Group

We’re a business that understands when our customers and people succeed, our communities succeed, and our economy thrives. As part of our purpose, we’re looking at how we can drive change for our communities in enterprise, learning and climate. As one of the leading supporters of UK business, we’re prioritising enterprise as a force of change. We’re focusing on the people and communities who have traditionally faced the highest barriers to entry and figuring out ways to remove these. Learning is also key to our continued growth as a company in an ever changing and increasingly digital world. By setting a dynamic and leading learning culture, our people prosper, and our customers are given the tools to continue to improve their financial capability and confidence. One of the biggest challenges we all face in our future is climate change. That’s why we’ve put it right at the core of our purpose. We want to champion climate solutions with financing and entrepreneurial support, fully embed climate into our culture and decision making, and be climate positive by 2025. We’re committed to using our purpose to break down barriers, drive change and ultimately create a great place to work.

Job ID: 109144919

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