IR - Quantitative Analyst

Location: London, England, United Kingdom

Salary: GBP700 - GBP750 per day

The role being offered is to participate in this major multi-faceted re-engineering project and work within the Global Markets Quantitative Research Transversal Architecture team to develop our Flow Rate Risk and P&L Explain analytics library to the evolutions of the Global Markets environment. The job covers the following tasks with the prioritization being done by the quant team:

Objectives / Benefits

  • Harmonization of the Front-to-Finance chain across Global Market (Long term)
  • Avoid duplication of pricers and leverage expertise within each individual GBL
     

Project Components

  • Create a harmonized payload (PDL) building services in different pricing libraries (Reflection API) and make them stateless and connection-less
  • Retrieve all static and market data components inside CPS component from market data Central Cache (MDD)
  • Retrieve all Positions from any class of Assets from a ‘MDD-like’ point of entry
  • Route payload to the relevant pricer
  • Harmonize PDL definitions of market data across Global Business Lines and ensure proper ownership.
  • Optimise interaction between C++ and ADA parts of the library
     

Focus for the Role:

In the context of this project a unified risk engine allowing the generation of consistent risk and P&L Explain scenari for all asset classes has been designed. Alongside a senior quantitative analyst the role will initially involve extending the capacity of this engine to generate a step-Revaluation P&L Explain in line with the methodology defined by global Markets quantitative research for flow rates products and ultimately a risk-based approach too.

 

This role will require both a very strong level of C++ as well as a good knowledge of risk and P&L Explain for Fixed Income IRFX products.

 

All tasks above are to be conducted with the supervision of the quantitative team to ensure consistency between different asset classes.

London, England, United Kingdom London England GB