Interest Rates Quantitative Analyst

 

Department Overview:

 

The Global Markets Quantitative Research division headed by the Global Head of Quant, who is in charge of the modelling, pricing & risk management developments for the entire offering of products within the Global Markets activity. The team operates globally with representatives in London, Paris, Asia and New York and plays a critical role in providing innovative solutions.

 

This requires a strong and permanent cooperation with trading and the Global Markets IT divisions to ensure all quant developments integrate optimally with the IT ecosystem, thereby ensuring the best deliveries to the business.

 

Role:

 

The Global Markets Quantitative Research is tasked to build along with the Global Markets IT a new architecture to streamline and harmonize the pricing, risk and P&L chain for interest rate, FX and credit flow products. This is a unique opportunity to work on a major re-engineering plan with very ambitious targets and requires a significant number of experts to work together and deliver this new platform.

 

The role being offered is to participate in this major multi-faceted re-engineering project and work within the Global Markets Quantitative Research Transversal Architecture team to adapt our existing FO Rate Risk and P&L Explain platform (Primo3) to the evolutions of the Global Markets environment. The job covers the following tasks with the prioritization being done by the quant team:

 

Responsibilities:

 

  • Become familiar with Risk and P&L Methodology and align when necessary the implementation

  • Keep up to date with evolution of our pricing models, understand the associated risk factors and adapt Risk and P&L Explain calculation accordingly

  • Take ownership of analytics used in the existing FO Rate risk and P&L explain platform and drive their evolution and permanent improvement

  • Define and implement evolution roadmap for the platform from the current architecture toward target one

  • Increase coverage of the platform and help roll it out to users not yet on-boarded (typically in regions)

  • Generally work in collaboration with IT to ensure high level of availability of the platform

  • Assist traders when they require expert inputs to help them understand their P&L and risks

 

Skills & Experience Required:

 

  • Strong knowledge of fixed income flow products

  • Extensive experience with C# :

    • Participation in large scale projects

    • Object oriented programming

    • MVVM Architecture

  • Comfortable with large scale libraries and working with different profiles (quants, IT etc.)

  • Ability to propose new design patterns and architectures with a strong emphasis on clean and ordered code with a focus on industrialization.

  • Prior experience in front office quantitative research is mandatory

 

Personal Attributes:

 

  • Good interpersonal skills given the numerous actors in this re-engineering project.

  • Able to work autonomously within the requirements of the project and the quant team.

  • A flexible, hands-on attitude and willingness to make things happen.

Download this description in a PDF format.

© 2018 by Quanteam UK

  • LinkedIn Social Icône