Vice President, Structured Product Quantative Pricing Analyst

Company Overview

Markit was founded in 2001 as the first independent source of credit derivative pricing and has recently been announced as the fastest growing private company in the UK. Today, our data, valuations and trade processing services are regarded as the market standard in the global financial markets, helping our clients to reduce risk, improve operational efficiency, and meet regulatory requirements.

As a private company with privileged relationships with 16 shareholder banks, Markit has unparalleled access to a valuable dataset spanning credit, equities and the broader OTC derivative universe. Our unique relationships with the bank shareholders give us the opportunity to work closely with these leading market makers to develop innovative solutions for the marketplace.

With over 1,300 institutions using our independent services as clients - including investment banks, hedge funds, asset managers, central banks, regulators, rating agencies and insurance companies - we provide round-the-clock support from our offices in London, New York, Chicago, Toronto, Amsterdam, Brussels, Luxembourg, Tokyo, Singapore and Sydney.

Role Summary

Markit Portfolio Valuations is looking for an experienced quantitative analyst to work on pricing FX, equity, commodity and hybrid structured notes. The valuations product teams specialise in building quantitative models for pricing vanilla and exotic derivatives across the major asset classes. Owing to the high demand for independent pricing of structured notes, enhancing the existing pricing framework to accurately and efficiently provide valuations on complex structures has become a priority.

Duties and Accountabilities

Playing a leading role in the ongoing development of a comprehensive structured product framework, used to price a wide variety of structures across multiple asset classes in potentially large volumes
Contributing significantly to the design, prototyping and testing of this system, with a focus on the exotic pricing analytics
Decomposing clients’ structured notes into their basic constituents, using the pricing framework to calculate and validate valuations for these notes and providing supporting analysis.
Providing training, guidance and supervision to other analysts within the team so that they can understand and price structured products for clients
Meeting clients alongside the sales team to provide technical expertise in structured products, thereby helping to grow revenues in this area

Business Competencies

Education and experience: Strong quantitative track record within the financial markets, with previous exposure to exotics and structured products gained within a bank
Derivatives market experience relating to FX, equities or commodities, preferably including hybrids
Excellent analytical, quantitative and problem-solving abilities
Very good undergraduate degree, probably followed by a Masters or PhD, in a numerical discipline
Deep practical and theoretical knowledge of mathematical finance and derivatives pricing, such as tree / grid / simulation methods under local / stochastic volatility
Actual hands-on experience of pricing exotic derivatives and structured products in the market, including features such as barriers, baskets and american / bermudan / asian exercise
Expertise in Excel, VBA and Matlab
Commercial Awareness: any previous commercial exposure or client-facing skills would be desirable

Personal Competencies

Ability to work well within a team environment and to coordinate with the internal product groups who have expertise in specific asset classes
Highly motivated and eager to take the initiative
Willing and able to execute hands-on modelling tasks
Very strong interpersonal skills required, in order to explain and present the pricing of complex structures inside the team, to other internal groups (e.g. sales) and to clients

The Contact

Interested applicants should send their CV and a covering letter to careers.europe@markit.com citing "Vice President Structured Product Quantative Pricing Analyst" in the subject line.