Strategist - Equity Risk
The Role
We are seeking a highly qualified and talented Quantitative Strategist to support the Volatility and Emerging-markets + delta-1 trading teams. You will work as part of a centralized Strategist team, working on vanilla and exotic product modelling, parameter marking and risk representation across geographies and markets.
What you’ll do
As a Strategist, you will support portfolio managers trading derivatives in representing, rationalizing and understanding risk at a product and book level– ensuring that risk is accurate and economically consistent with product/payoff definitions. In addition, there will be focus on creating and understanding stressed market scenarios and developing modelling to predict product and book behavior in those environments. This will involve developing and validating parameter models to represent volatility surfaces, dividends and funding. You will support portfolio managers and traders maintaining and extending a centralized library for valuation and risk calculations.
You will be leading efforts on:
- Vol surface parameterization and modelling
- Vol product pricing, risk representation and rationalisation
- Vol PnL explanations & attribution
