Location: United Kingdom (London, City of) Type: Permanent
Securitized Products Quant Research – Assoc Level
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:
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.
Reference: AMO/AMC/JME/SPQR. To apply for this vacancy: email John Meadowcroft