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Up to 6 month internship opportunity in the Strats department in our head office in London. Successful interns will be considered for a full time graduate position.
Rothesay is a UK insurance company purpose built to protect pensions. We are the largest specialist pension insurer in the UK, managing over £60bn of assets for over 800,000 pensioners. We secure pensions for over 170 schemes including British Airways, the Post Office, ASDA, National Grid and Aegon. At Rothesay, we are striving to transform our industry. We believe deeply in creating real security for the future and our leadership in finding new and better ways to do that is the key to our success. To achieve that, we need the very brightest original thinkers to bring creativity as well as rigour. Rothesay is a rewarding place to work, where quality people can thrive and prosper. We pride ourselves on the connections our people build, many of whom have been with us for over ten years.
Responsibilities
Strats occupy the intersection of markets, maths and programming. Working side by side with the firm’s traders, structurers and actuaries, strats use their quantitative mindset to risk manage the business, drive transactions, and identify market opportunities.
Typical projects:
- Pricing and risk managing complex transactions, ranging from pension fund buyout trades to exotic assets and derivatives
- Rolling out risk reports to understand our sensitivities to various market factors
- Designing & implementing models to price a new asset class, or derivative hedge, or even liability type
- Building tools to help manage the firm’s capital or liquidity requirements and understand how these quantities might change as we transact or as the market moves
- Maintaining & improving our cutting-edge risk management systems
Our toolbox includes:
- A strong sense of ownership and a “get things done” attitude
- The ability to sense check numbers, perform quick “back of the envelope” calculations and build intuition over various sensitivities
- Programming in SecDb/Slang (proprietary), Python or Rust
- Risk neutral options pricing models (analytical or otherwise)
- Numerical pricing methods (Monte Carlo, Finite difference grids, etc.) and optimisation techniques (linear programming, Levenberg-Marquardt, etc.)
- Advanced interest rate discounting models (collateral/CSA aware discounting, etc.)
- A keen understanding of the funding implications of any deal we make
- Dependency graphs (DAGs) to organize our computations and our batch
- A creative & caring approach to managing the complex computing systems which run our business
The strats team is organized around four areas of focus (though the boundaries are somewhat fluid):
- Assets
- Liabilities
- Capital
- Asset Allocation & Liquidity Management
In general, we are looking for smart, quantitative, commercially driven self-starters with the skills to deliver robust, high performance software and quantitative analyses and with either experience in financial markets or a keen interest to learn about them.
Skills and Experience
Required:
- Advanced quantitative skills (typically evidenced by a degree in maths, physics, computer science, engineering or similar)
- Excellence in applied programming skills
- Good communication skills, ability to summarize & explain complex ideas
Preferred:
- Knowledge of financial mathematics and stochastic calculus.
- Understanding of Fixed Income products and derivatives.
- Experience in creating and validating pricing and/or risk models for use in a financial services organisation.
