Vacancy detail

Securitized Products Quant Research – Assoc Level

Location: United Kingdom (London, City of) Type: Permanent

Securitized Products Quant Research – Assoc Level

London based

 

The Credit and SPG QR team is responsible for developing and maintaining models for valuation, risk, PL calculations, as well as quoting and market making algorithms and analysis tools for the Global Spread business. The responsibilities of the team span the full range from new model specification, going through model approval, implementation of models within a library, to integration into risk and PL systems.

 

This opportunity is to join the London team as an Associate, with a focus on pricing models, model evaluation and infrastructure for cash and derivatives products in the European Asset Backed Securities space (ABS) for Securitized Products Business (SPG). The role is spanning all aspects of SPG QR coverage for ABS, from the mathematical modelling to the development of model evaluation platforms in the risk system.

 

Key responsibilities could include:

 

  • Evaluating and documenting quantitative methodologies, back-testing and simulating quantitative models.
  • Ensuring analytical consistency with other products supported in QR quantitative libraries.
  • Supporting trading activities by explaining model and algorithm behaviour, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics.

 

Requirements:

 

The role requires the combination of a very structured mathematical approach to problem solving, experience with quantitative modeling and risk neutral pricing, business overview, and the ability to work in a dynamic environment. Excellent communication skills are required in the interaction with trading, technology, and control functions. A strong interest in good software design principles is a requirement as well. A Ph.D. in a numerate subject from a top academic institution is a plus, but not an absolute requirement.

 

Essential skills:

 

  • Earned a PhD or Master’s degree in math, statistics, physics, financial engineering, computer science or other quantitative fields.
  • Knowledge of European ABS market or familiarity with Interest Rate instruments such as Swaps and  Swaptions.
  • Strong software design and development skills using C++, Python or Java.
  • Experience with big data, time series and statistical analysis.
  • Great communication and interpersonal skills.

 

Reference: AMO/AMC/JME/SPQR. To apply for this vacancy: email John Meadowcroft

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