Quantitative Analyst - Leading Bank

  • £80-110,000 + good bonus
  • London, England, United Kingdom
  • Permanent, Full time
  • Gresham Search
  • 20 Sep 16

Industry leading quant group at top European bank is looking for a candidate with experience in as a derivatives or derivatives risk quant.

This role sits within a strong team of 30+ quantitative analysts who work across asset classes and model types to develop and improve methodology.  The technical standard of the group is extremely high and mathematical rigour is prioritised. 

Specifically the role will involve:

  • Development of models for the risk management of derivatives, both for counterparty and market risk. 
  • Coding in C++ and VBA
  • Documentation of models
  • Working closely with other quants in the group on a variety of projects

This role is highly visible within the bank, allows interaction with senior management and risk management and continuous work on highly complex models. It would allow the candidate to work on projects in C++ and VBA leveraging an advanced analytics library.

The recent increased focus on the FRTB directive has increased the workflow of the group and will be a focus in the role.

Requirements include PhD or strong MSc in quantitative discipline (maths, physics, engineering) and model experience in any derivative asset class either in pricing or risk management. Programming skills C++/VBA or related language are strongly preferred and the candidate will need to have good written and oral communication skills.

To apply for this role email CV to info@gresham-search.com.