Quantitative Analyst/Model Validator

London, England, United Kingdom

12/20/2024

Marex is a diversified global financial services platform, providing essential liquidity, market access and infrastructure services to clients in the energy, commodities and financial markets.

The Group provides comprehensive breadth and depth of coverage across four core services: Market Making, Clearing, Hedging and Investment Solutions and Agency and Execution. It has a leading franchise in many major metals, energy and agricultural products, executing around 50 million trades and clearing 205 million contracts in 2022. The Group provides access to the world’s major commodity markets, covering a broad range of clients that include some of the largest commodity producers, consumers and traders, banks, hedge funds and asset managers.

Marex was established in 2005 but through its subsidiaries can trace its roots in the commodity markets back almost 100 years. Headquartered in London with 36 offices worldwide, the Group has over 1,800 employees across Europe, Asia and America.

For more information visit www.marex.com

The Quantitative Analyst will continuously be challenged around model risk management, model validation, pricing methodology and quantitative model development of various pricing and risk engines. Will gain exposure to various asset classes with a strong appreciation for the complexities across the various commodity, FX and equity markets. Analyse and find meaningful patterns on large data sets.

Responsibilities

• Contribute to the Model Risk framework for both house and client positions.
• Enhancement of the risk management infrastructure through the transformation of data.
• Deliver improvements to market risk processes, models and methodologies; improving the modelling of market risk VaR, credit risk VaR and Counterparty Credit Risk engines by using advanced multivariate statistical techniques.
• Be able to validate Market & Credit VaR (Value at Risk) engines for all asset classes including structured products.
• Be able to validate Margining Methodologies and engines for all asset classes including exotic derivative products.
• Ongoing model development for valuation and risk measurement, carrying out reviews and calibration of model parameters to help ensure best practice is followed.
• Develop and implement tactical & strategic risk tools to provide analysis and potential reporting capabilities to the overall team.
• Develop, maintain, and extend time series data sets with proxies whenever necessary.
• Build & maintain historic data sets across price and implied volatility surfaces to support pricing and risk models.
• Quantitatively analyse new deals and identify embedded risks using Monte Carlo simulation based modelling and other methods.
• Design and implementation of efficient and effective internal data controls to ensure appropriate risk management occurs across all traded asset classes.
  
  

Essential

Skills and Experience:

• Understanding of risk management of futures, options and risk methodologies such as VaR, Stress Testing and Option valuation theory.
• Strong quantitative and analytical skills, including, programming, time series and other statistical analysis.
• Good programming knowledge (Python required, Matlab Optional).
• Experience in assessing, quantifying and implementing appropriate portfolio price and stress tests.
• Some familiarity in volatility surface construction and calibration.
• Professional in creating well-structured documents using scientific typesetting software i.e. LateX, Lyx, Beamer etc.
• Ability to obtain data from multiple sources, link and analyse the information, perform data integrity checks.
• Masters Degree/PhD in Maths, Quantitative Finance, Financial Economics, Econometrics related field.
• Strong presentation technique and ability to adapt communication to Management (ability to summarise succinctly however maintain a deep understanding of the subject to respond to questions). Management information report development ability.
• High quality assessment of a wide range of potential complex transactions, carrying out modelling and analysis as necessary, advising upon the value and risk-related quantitative issues associated with the proposals.
  
  

Desirable

• Relevant exotic options work experience including knowledge of commodities
• Options trading, Econometric Forecasting, Data Mining
• Structured Products and Hybrid structures
  
  

If you’re forging a career in this area and are looking for your next step, get in touch!

Marex is fully committed to being an inclusive employer and providing an inclusive and accessible recruitment process for all. We will provide reasonable adjustments to remove any disadvantage to you being considered for this role. We value the differences that a diverse workforce brings to the company. We welcome applications from candidates returning to the workforce. Also, Marex is committed to avoiding circumstances in which the appearance or possibility of conflicts of interest may exist within the hiring process.

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