Prime Optimization Quant Role - VP level Prime Optimization Quant Role - VP level …

Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 19 Apr 21
perfomance based bonus
Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 19 Apr 21
perfomance based bonus
Our client is looking for an experienced quant to join the Prime Financing quant team in order to develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure to help the Prime business thrive. Their remit encompasses advanced optimization algorithms to automate settlement, manage collateral and in general extract value from large amounts of data.

Prime Optimization and Analytics Quant - VP level

London based

Our client is looking for an experienced quant to join the Prime Financing quant team in order to develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure to help the Prime business thrive. Their remit encompasses advanced optimization algorithms to automate settlement, manage collateral and in general extract value from large amounts of data.

In addition, they are providing on job training, intensive internal classroom training, and online courses, all given by their experienced quants. Through the diversity of the businesses it supports and the variety of functions that it is responsible for, the group provides unique growth opportunities for you to develop your abilities and your career.

They make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as any mental and physical health needs or particular family considerations.

If you are passionate, curious and ready to make an impact, they are looking for you!

Responsibilities:

You will work with senior stakeholders in the Prime Finance businesses, as well as technology and risk teams, to drive the implementation of sophisticated tools/analytics and advance their risk/pricing workflow. This requires the development of new innovative models, as well as enhancements to existing models, that cover the areas below. A strong technology team will work alongside the quant team.

  • Optimization of collateral and inventory under various constraints arising from regulatory, contractual, capital, etc. requirements on one hand and expected duration, internal opportunities, etc. on the other;
  • Develop mathematical/statistical models for Prime desks to enhance business revenue and profitability for stock borrow-loan, cash and synthetic financing books;
  • Devise solutions for systematic book management, improving the overall stability of their collateral and its respective uses;
  • Deliver quantitative analytics to the desks that drive decision making;
  • Maintain adequate control functionality;

Requirements:

  • Advanced degree (Masters, PhD, or equivalent) in Math, Sciences, Engineering or Computer Science;
  • Experience in large-scale and mixed-integer optimization;
  • Excellent communication and presentation skills, in particular to senior stakeholders;
  • Understanding of statistics and machine learning methodologies;
  • Strong software design and development skills, particularly in Python;

Desirable:

  • Financial knowledge of Delta 1, Equity Derivatives, Inventory Management is a plus;
  • Experience with data pipelines;
  • Operations research background;
  • Experience with Cplex/Gurobi.
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