The Experience Non-Linear Credit Quantitative Researcher, Vice President level
Role, will focus on the global management, development, delivery, maintenance and support of FICC and EQD Research’s cross-asset analytics software libraries. Development and implementation of quantitative methodologies to be used for development and adaptation of existing methodologies to measure capital add-ons associated to non-modelable risk factors and standard calculations. Maintain, coordinate and enhance development environment, communication, tests and best practices. Design of innovative analytic/implementation approaches, system development, delivery and support of tools based on FI and EQD Research’s analytics libraries. This requires a strong and permanent cooperation with other quantitative developers and analysts, as well as with the trading desks and the Global Markets IT division to ensure all quant developments integrate optimally with the IT ecosystem, thereby ensuring the best deliveries to the business. The role holder will operate with a degree of independence and autonomy, whilst knowing when complex and high-risk issues need to be referred upwards. The role holder will lead in the delivery of non-routine tasks and activities and will supervise and mentor more junior colleagues to support them with their development.
Key Responsibilities
* Actively contribute to projects within the department for example Credit Transformation or Non-Linear Credit Pricing Platform Industrialisation, responding to any issues or developments within relevant aspects of work.
* Develop, test, deliver and support tools based on analytics libraries.
* Develop and implement analytic tools to calculate the various pricing analytics for Structured Credit, Credit Option and Credit Hybrids products related to market making, Risk & P&N, Cost of capital and bank’s resources management.
* Support the team on pricing all related requests.
* Develop tools for the Structured Credit and Index Tranches and Index Options Market Making teams (trading / structuring / strategists).
* Contribute to the development of the team analytics library.
* Assist the Bank in adapting to new regulations and capital charges by providing ideas or tools to estimate their impacts.
* Influence and support members of the team by leading in decision making and approach where problems are more complex and require sophisticated analysis or experience.
* Act as a point of escalation for more junior staff.
Requirements
* Professional qualification in mathematics, statistics, physics, engineering or finance/econometrics or a PhD in another science or engineering field preferred with an interest in finance modelling.
* Expert knowledge in quantitative finance and options (knowledge of stochastic calculus and structured/exotic derivatives is advantageous but not required).
* Professional experience in the Financial Services industry ideally with experience in trading activities / market risk, quantitative finance, regulatory projects.
* Strong technical background in pricing Fixed Income, Equity and/or Commodity products.
* Proactively able to identify areas of development, improvement or ways to maximise results and takes initiative to implement relevant actions, in the short and long term.
* Strong relationship management skills and an ability to work with individuals to ensure the delivery of set objectives.
* Strong mathematics and numerical techniques, e.g., linear algebra, root.
* Advanced programming skills, such as C++, C# and python, with experience gained in a context of quantitative research (model implementation in an
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