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
market risk measurement
Development and adaptation of existing methodologies to be used to measure
capital add-ons associated to non-modellable risk factors and standard
calculations
Maintain, co-ordinate and enhance development environment,
communication, tests and best practices
Design of innovative analytic/implementation approaches, system
architecture, code optimisation, interfaces, etc.
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
Advanced level professional within the GMQR department within Global
Markets.
Actively contributes to some 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.
Works with more senior members of the GMQR team on the below matters:
Develops, tests, delivers and supports tools based on analytics
libraries
Develops and implements analytic tools to calculate the various pricing
analytics for Structured Credit, Credit Option and Credit Hybrids
products related to market making, Risk &; PNL, Cost of capital and
bank’s resources management.
Supports the team on pricing all related requests
Develops risk management tools
Develops tools for the Structured Credit and Index Tranches and Index
Options Market Making teams (trading / structuring / strategists)
Contributes to the development of the team analytics library.
Assists the Bank in adapting to new regulations and capital charges by
providing ideas or tools to estimate their impacts.
Influences and supports members of the team by leading in decision making
and approach where problems are more complex and require sophisticated
analysis or experience. Acts 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, along with 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
finding, finite differences.
Advanced programming skills, such as C++, C# and python, with experience
gained in a context of quantitative research (model implementation in an
analytics pricing library).