Quant Modeler - Assoc/VP, London Quant Modeler - Assoc/VP, London …

Anson McCade
in London, England, United Kingdom
Permanent, Full time
Last application, 17 Jun 19
Negotiable
Anson McCade
in London, England, United Kingdom
Permanent, Full time
Last application, 17 Jun 19
Negotiable
Anson McCade
My client's analytics package is used across all divisions of the firm for trading and risk managing of Cash and Derivatives in all asset classes including Rates, Credit, Foreign Exchange (FX), Commodities, Equities, Inflation, Corporate Finance, Money Markets, Mortgages, Hybrids, Emerging Markets (EM). Furthermore, it is used in many of the Bank's regulatory and portfolio calculations.

Key responsibilities:

  • Maintaining existing models and implementing new models for pricing and risk management of Credit and Rates linked Derivative and Cash products.
  • Documenting and testing new and existing models.
  • Supporting the library to Strats, Trading, Group Technology & Operations (GTO), Risk and Finance.

Skills & Experience:

  • Strong quantitative analytic, modelling, pricing and risk management skills, with experience within a financial services environment.
  • Strong computing and programming (coding) skills and experience, utilising programming languages such as Python, Matlab, R, S-Plus, C++, SQL, and Oracle.
  • A good understanding of Rates, Credit or FX products gained from professional experience or within education.
  • Experience within an analytics software firm or investment bank developing derivative pricing models.
  • Relevant education such as a Bachelor of Science (BSc)/Master of Science (MSc)/Doctor of Philosophy Degree (PhD) in a relevant subject such as Maths, Physics, Computer Science, Statistics or Engineering.
  • The ability to communicate effectively across multiple teams and functions, in addition to excellent presentational skills.
  • A team player with strong interpersonal skills, leadership skills, and multi-cultural understanding.
  • Able to multi-task different projects and prioritise against tight deadlines.
  • Willing and able to travel occasionally.
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