Job Description
Our client is a global analytics and digital solutions firm.
The team
The candidate will be a member of The QA Equity & Hybrid Products team, which is part of the Global Quantitative Analytics group (QA) and is responsible for research, development and implementation of quantitative models for the equity derivatives business. It covers equity flow products, equity structured & hybrid products, quantitative index and strategies business.
Overall purpose of the role
• Documentation, Testing and improvements of an internal risk model, which is owned by The QA Equity & Hybrid Products team and feeds the Credit Valuation Adjustment (CVA) for products sensitive to future implied volatility dynamics (e.g Corridor Variance Swaps).
• Liaise with Front Office, Technology and Model Validation teams, to deploy the risk model to production
Essential skills:
• Masters or PhD in Mathematics/Computer Science or related field
• Mathematically minded (knowledge of financial mathematic, ability to program numerical algorithms in C++):
• Experience in Front Office & Derivatives modelling
• Theoretical knowledge of financial engineering/structuring and financial product development
• Strong analytical and numerical skills
• Good Python programming skills
• Strong C++ programming skills (ideally worked in a C++ shared library)
• Able to explain complex ideas in a clear and coherent manner to colleagues/traders/sales/management both oral, written or in presentation
• Self driven with a strong desire to meet deadlines and to work accurately while keeping in mind compliance
• Integrity, desire to have correct and robust mathematical models and implementation
• Innovation ideas, ability, courage and desire to suggest and develop novel approaches
• Good written and verbal communication in English