Treasury Analytics Quant Analyst - AVP Treasury Analytics Quant Analyst - AVP …

Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Be the first to apply
Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Be the first to apply
Treasury Analytics Quant Analyst - AVP
Banking client seeks an AVP level Quant Analyst as part of their expanding Treasury Analytics function.

The Associate, Quantitative Analysis, is a specialist who performs a variety of highly technical tasks pertaining to the valuation (including xVAs) and risk management of derivatives and complex financial products. This includes providing quantitative analysis as well as designing, implementing and maintaining pricing tools and libraries developed in C++.

The Treasury Quantitative Analytics Group is responsible for all quantitative requirements of Treasury. These requirements include the design, validation, implementation and maintenance of pricing models for various types of derivative and structured products, portfolio management tools (including xVA) and risk management tools.

While the main stakeholder is the Treasury Department, the team also provides its expertise and input to other departments within the Bank, including Risk Management, Operations, Accounting and Banking.

Key Responsibilities

The Associate, Quantitative Analysis, undertakes the following responsibilities and activities:
  • Under direction of the Associate Director or another team member, contributes to the design and implementation of solutions in C++ or another agreed programming language.
  • Works closely with Treasury portfolio managers and traders to analyse proposed new types of instruments/trades and recommends appropriate modelling and pricing methodology.
  • Helps design and implement pricing and analytical tools in a mathematically sound way. This includes the modelling of interest rates, foreign exchange, commodities, equities, credit and inflation, either as standalone asset classes or as hybrids (e.g. long term IR+FX model).
  • Develops, maintains and enhances own developed applications, within an existing framework, for use by the Treasury department.
  • Develops, maintains and enhances pricing templates in existing third-party valuation systems for complex products to feed valuations to Front, Middle and Back Office.
  • Assists in providing an independent and technical advice and influence on all quantitative issues. This includes assessing internal and external pricing and risk management systems, upon request.
  • Takes ownership of activities on team work plan and delivers to agreed timelines.
  • Proactively supports other team members on project activities as required.
  • Maintains knowledge of latest developments and techniques in the Quant world as well as IT technologies.

- Knowledge, Skills, Experience & Qualifications
  • MSc in finance or sciences, or equivalent experience
  • Demonstrated experience working in Financial Services

Strong quantitative skills in financial modelling, including stochastic calculus, numerical methods and application of the options theory.

Good understanding of financial instruments in general and in particular interest rates, foreign exchange, equity and credit derivatives.

Good understanding of risk management and portfolio valuation techniques (e.g. VaR, sensitivities, CVA/DVA, FVA).

Proficient in C++, Excel, VBA, databases, Json/XML, SQL, Matlab, SVN.

Knowledge of NumeriX and Summit or similar systems

Ability to communicate well with all levels of the business community, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff.

A methodical and practical approach to problem solving and troubleshooting.

Demonstrated experience contributing to and delivering projects as part of a team

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.