Financial Engineer

A leading financial services firm focused on quantitative modelling, are seeking a Senior Financial Engineer to join their team. In helping their stakeholders to mitigate Risk, tools to be used will include computer science, statistics, economics & applied mathematics.

Suitable candidates will demonstrate a strong interest in new developments in Liquidity Risk/Capital, Market Risk, Credit Risk, and be able to be a thought leader on these topics including hosting webinars, or writing papers and blogs. You will also be involved in the development of junior staff alongside on-site client project delivery.

Furthermore, a deep grasp of a range of asset classes (FX/Cross-currency, Interest Rates, Equities, Commodities & Traded Credit) and relevant industry regulations (FRTB, VaR, IFRS9) will be needed and so a background or knowledge of financial markets is essential

Key qualifications for Senior Financial Engineer:

• Circa 8 – 10 years’ experience in a relevant field
• Relevant undergraduate and postgraduate degrees (including but not limited to, Mathematical Finance, QRM (Quantitative Risk Management), Computer Science, Engineering
• Qualifications in Chartered Financial Analyst (CFA), Financial Risk Management (FRM), Professional Risk Management (PRM) or Certificate in Quantitative Finance (CQR), all advantageous

Technical skills
For Senior Financial Engineer, a combination of:

• Financial Modelling
• Pricing models (Including derivatives)
• Quantitative-related research
• XVA management
• Stochastic calculus, Monte Carlo simulation, time series analysis
• PnL Attribution and IPV (Independent price verification)
• SIMM margin models
• Models for collateral/collateral optimisation
• Experience of any of the following Front Office trading systems: Front Arena, Murex, Calypso, Wall Street, or Market Data platforms: Bloomberg, Reuters

Key duties:

• Deliver full consulting services to clients, especially in the areas of regulatory model and economic model management, valuations, Market Risk, all types of Credit Risk and ESG Analysis
• Development of quant pricing libraries
• Management of project workstreams E2E (end-to-end)
• Business Analysis including requirements gathering, requirements mapping and documentation, and new product specifications

If you meet the criteria above, and currently operate at a Senior and technical level, then please get in touch for a confidential conversation re: this Sandton based role