Quantitative Analyst Derivatives

  • Negotiable
  • Full Time
  • Dublin
  • Posted 3 weeks ago

Quantitative Analyst Derivatives

The Quantitative Analyst – Derivative Pricing & Risk will mainly be responsible for the accuracy of the output of OTC derivative valuations from the in-house valuation platform. Key to this delivery will be the review, configuration and test of off-the shelf pricing models as well as model inputs.


  • Assist in test and configuration of new valuation models and their periodic validation.
  • Review and formulate market data requirements and market data quality controls.
  • Build strong relationships with key stakeholders and departments.
  • Highlight any model-related valuation issues with proposed solution & suggest remedial action as necessary.
  • Provide direction & support to IT development team.
  • Understand and communicate the risk in the valuation process and address and document these risks from the perspective of general best practice
  • Management of  mutual expectations from interaction with other areas (e.g. IT, Global Markets Quants)
  • Provision of direction & support to project team members
  • Development of deep understanding of Calypso configuration of pricing-relevant functionality
  • Support of investigation of valuation issues escalated by Valuation Controllers
  • Awareness of IT release approach for changes to the Calypso platform.
  • The position requires a combination of modelling & product knowledge and interest software configuration.

Experience Required :

  • 3rd level degree in a finance, economics or a numerical subject.
  • Relevant experience in a closely related role
  • Demonstrate technical knowledge in financial instrument pricing, popular approaches and related assumptions as well as their practical limitations.
  • Good understanding of recent industry developments affecting modelling.
  • Ability to reverse-engineer derivative valuations & value certain structures from first principles.
  • Ability to communicate effectively across multiple skill-sets / departments and globally diverse teams.
  • Interest in programming for development of prototypes and efficiency gains would be
  • Insight into broader issues relating to structured securities would be a desirable.

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Barbara Donnellan

Barbara Donnellan

  • Banking & Finance Manager
  • barbara@edenrecruitment.ie