WHO WE ARE
Quanteam Group is a Consultancy firm specialising in the Financial sector, in London, Paris, Brussels, New York and Singapore.
Since 2007, our 800 consultants provide our sector with expertise and capacity across different areas such as Financial Engineering and Quantitative Research, Regulations and Market Change, IT Transformation and Innovation.
Our major clients are Corporate & Investment Banks, Asset Managers, Financial Associations, Hedge Funds, Brokers, Trading Companies, and Insurance Companies.
The company participates in major Programmes driven by Business, Technology and Regulatory initiatives, and we bring business advice through quantitative, risk, front office and organizational experience as well as IT expertise via Business Analysis, Development, Business Continuity and Change Management.
As part of Quanteam Group, Quanteam UK (incorporated in 2007) counts more than 90 consultants, delivering our expertise to major Financial institutions in London.
Our client is one of the world's leading financial groups. Headquartered in Tokyo and with approximately 350 years of history, is a global network with around 2,300 offices in over 50 countries including the Americas, Europe, the Middle East and Africa, Asia and Oceania, and East Asia.. The group has over 150,000 employees, offering services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.
As one of the top financial groups globally with a vison to be the world's most trusted, we want to attract, nurture and retain the most talented individuals in the market. The size and range of our client’s global business creates opportunities for our employees to stretch themselves and reap the rewards, whilst our common values, to behave with integrity and responsibility, and to build a culture which is fair, transparent, and honest, underpin everything that we do.We aim to be the financial partner of choice for our clients, whatever their requirements, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.
The EMEA Markets Engineering (ME) department supports the trading, sales and risk departments across all asset classes in London, New York, Amsterdam, Paris and Hong Kong.
ME is a team charged with the development of models, pricing tools and system integration used in the firm. Their products support the trading and risk functions using internally developed applications run on traders’ desktops, and various pricing and risk systems in the bank.
Main Purpose of the Role :
To contribute to the general development of the Bank multifunctional in-house quantitative solution, with focus on pricing, risk, model calibration, trader tools, and market data processing.
To assist in the extension of the pricing library and quality assurance tools to comply with the Model Risk Management regulatory frameworks.
In this role, you will be working across the banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.
Initial responsibilities will include:
Analysing desk sensitivities (risks) and attribution of PnL, proposing improvements and implementing changes in libraries and tools.
Improving the internal market data model for certain factors, for example credit default swaps.
Contribution to improvements of tools used by traders.
Contribution to the effort to remove dependencies on Libor from internal libraries and tools.
Contribution to documentation and validation of models.
Skills and Experience:
Functional / Technical Competencies:
General understanding of IR derivatives (swap with multi curve, swaption with skew), or vanilla derivative in other asset class: fx option, equity vanilla option.
Strong quants development skills in C# or C++.
Front office quants: code change that impacts desk PnL.
Middle office quants: signing-off model approval as middle office manager.
Experience (2y+) in front office or model validation
Functional / Technical Competencies:
Experience in changing of valuation code used in front office in inception pricing or middle office for validation or accounting.
Interest rate curve bootstrapping e.g. knowing impact from the choice of interpolation, choice of instruments, curve hierarchy, etc.
Ability to verify sensitivity profile of the xccy swap, vanilla option.
Experience in changing valuation Monte Carlo, PDE, tree or numerical integration.
Results driven, with a strong sense of accountability.
The ability to deliver according to pre agreed schedule.
Excellent attention to detail and accuracy.