• Permanent, Full time
  • Anson McCade
  • 2018-05-21
  • London, England, United Kingdom
  • Competitive
  • Full time

Quantitative Research, Linear Rates & FX – VP/ED level

Supports the global rates, securities, and emerging markets businesses. The role is within the linear Rates and FX group with the main focus on development of the next generation of market making, valuation and risk analytics functionality.

Quantitative Research, Linear Rates & FX – VP/ED level

London based

 

Supports the global rates, securities, and emerging markets businesses. The role is within the linear Rates and FX group with the main focus on development of the next generation of market making, valuation and risk analytics functionality.

 

This group is currently working on a multi-year upgrade, build out and consolidation of the next generation market making, pricing, risk management analytics as well as systems for the global fixed income businesses. To support this project, they are looking for a person with a very strong numerical and computational background. They expect the person to share in a balanced mixture of responsibilities covering a wide range of asset classes in the fixed income related businesses. Responsibilities include market data calibration, pricing/risk analytics implementation, pricing and risk system integration, driving strategic and cross business solutions, pricing and risk investigation and support of QR model analytics.

 

Core Responsibilities:

  • Driving the approach and implementing existing or new pricing and risk management analytics and calculations.
  • Rapid prototyping of new functionality which is then industrialized and integrated into the global production environment.
  • Interaction with and representation of QR perspective to a range of groups (eg trading, technology, other QR teams, market risk, control groups, middle office etc).
  • Design and implementation of strategic solutions.

Essential skills, experience and qualifications:

  • Very strong analytical, numerical and problem solving abilities.
  • C/C++ and Python equivalent coding with emphasis on both OO design and implementation of numerical methods.  Experience or ability to work in multi language and system ecology.
  • Understanding of probability theory, swaps market and conventions, option pricing theory, securities and hybrids pricing methodologies and associated risk management (eg monte carlo, Greeks, VaR, CVA, stress testing, back testing).
  • Excellent communication skills, and ability to interact with a broad range of related business groups and functions.

PhD or equivalent degree in Physics, Engineering, Computer Science, Mathematics or Mathematical Finance.

London, England, United Kingdom London England GB