Associate Director, Quantitative Research Associate Director, Quantitative Research …

Lloyds Banking Group
in London, United Kingdom
Permanent, Full time
Last application, 17 Jun 21
GBP71745 - GBP94900 per annum
Lloyds Banking Group
in London, United Kingdom
Permanent, Full time
Last application, 17 Jun 21
GBP71745 - GBP94900 per annum
Lloyds Banking Group
Lloyds Banking Group is the UK's leading Digital Bank serving more than 26 million customers and 1 million businesses. With over 16 million customers banking online, the Group continues its fast-paced digital transformation through adoption of new technologies and agile practices to transform the way Britain Banks.

Lloyds Banking Group is the UK's leading Digital Bank serving more than 26 million customers and 1 million businesses. With over 16 million customers banking online, the Group continues its fast-paced digital transformation through adoption of new technologies and agile practices to transform the way Britain Banks.

We're looking for an Associate Director level Quantitative Analyst to join the front-office Pricing Models Quantitative Research team with a main focus on Rates.

The gradual decommissioning of the LIBOR benchmarks and their replacement by new Risk Free Rates has crafted the need for new products and models as well as a major rethink of the current ones. As part of this push, you'll be required to work extensively on pricing of new products and the design and maintenance of the associated curves and volatility surfaces. There will be significant modelling as well as software design and development work, as existing frameworks will need adjustments to support the new paradigm. In addition to this strategic project, the candidate will offer support to business activity encompassing Trading, Finance, Risk, regulatory projects and Capital Management.

Specifically the role will involve development within the production in-house Quant Library code base in C++. The candidate will have continuous interaction with the broader quant team, as well as FO Trading, Market Risk, Finance, Project management, Model Validation and IT.







Do you have these skills?

Quantitative Finance

  • Product knowledge of linear and options rates products, with Inflation, Credit or FX being a plus;
  • Understanding of multi-tenor interest rate curve construction and CSA aware pricing;
  • Understanding of stochastic volatility models and calibration of rates models;
  • Strong analytical and numerical skills, including practical knowledge of stochastic calculus, and knowledge of implementing pricing analytics;
  • Appreciation of computational requirements of pricing algorithms - basics of numerical PDE solvers, Monte-Carlo, early exercise by regression (e.g. Longstaff-Schwartz).






Software Development

  • 2 to 5y development experience in a large quant library with front office focus;
  • Strong practical software engineering, experience in C++, with strong capacity for abstraction, design skills, and appreciation of architecture of quant libraries.
  • Exposure to Python as a data analysis tool.






Qualification

  • Post-graduate education (PhD, MSc or equivalent) in a highly quantitative subject (such as Maths / Financial Maths, Physics or Engineering) is required.






Is this you?

  • Ability to communicate sophisticated ideas with transparency;
  • Multifaceted attitude with an ability to easily switch from one task to another as priorities change, and continue to work in a collaborative way throughout;
  • Strong attention to detail as accuracy is of essence;
  • A standout colleague.






You'll also receive a benefits package which includes:

  • A performance related award
  • Generous pension contribution
  • 30 days leave plus bank holidays
  • A flexible cash pot (4% of base salary) to spend on benefits

We're committed to building a workforce which reflects the diversity of the customers and communities we serve. Join us and be part of an inclusive, values-based culture passionate about making a difference.

We'll ensure that individuals with disabilities are provided reasonable accommodation to participate in the job application or interview process, to perform essential job functions, and to receive other benefits and privileges of employment. Please contact us to request accommodation.

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