Non-Linear Credit Quant Research - VP

Non-Linear Credit Quantitative Researcher, Vice President level

role, will focus on the global management, development, delivery, maintenance and

support of FICC and EQD Research's cross-asset analytics software libraries:

Development and implementation of quantitative methodologies to be used for

market risk measurement

Development and adaptation of existing methodologies to be used to measure

capital add-ons associated to non-modellable risk factors and standard

calculations

Maintain, co-ordinate and enhance development environment,

communication, tests and best practices

Design of innovative analytic/implementation approaches, system

architecture, code optimisation, interfaces, etc.

Development, delivery and support of tools based on FI and EQD Research's

analytics libraries

This requires a strong and permanent cooperation with other quantitative developers

and analysts, as well as with the trading desks and the Global Markets IT division to

ensure all quant developments integrate optimally with the IT ecosystem, thereby

ensuring the best deliveries to the business. The role holder will operate with a

degree of independence and autonomy, whilst knowing when complex and high-risk

issues need to be referred upwards. The role holder will lead in the delivery of non-

routine tasks and activities and will supervise and mentor more junior colleagues to

support them with their development.

Key Responsibilities

Advanced level professional within the GMQR department within Global

Markets.

Actively contributes to some projects within the department for example Credit

Transformation or Non-Linear Credit Pricing Platform Industrialisation

responding to any issues or developments within relevant aspects of work.

Works with more senior members of the GMQR team on the below matters:

Develops, tests, delivers and supports tools based on analytics

libraries

Develops and implements analytic tools to calculate the various pricing

analytics for Structured Credit, Credit Option and Credit Hybrids

products related to market making, Risk &; PNL, Cost of capital and

bank's resources management.

Supports the team on pricing all related requests

Develops risk management tools

Develops tools for the Structured Credit and Index Tranches and Index

Options Market Making teams (trading / structuring / strategists)

Contributes to the development of the team analytics library.

Assists the Bank in adapting to new regulations and capital charges by

providing ideas or tools to estimate their impacts.

Influences and supports members of the team by leading in decision making

and approach where problems are more complex and require sophisticated

analysis or experience. Acts as a point of escalation for more junior staff.

Requirements

Professional qualification in mathematics, statistics, physics, engineering or

finance / econometrics or a PhD in another Science or engineering field

preferred with an interest in finance modelling, along with expert knowledge

in quantitative finance and options (knowledge of stochastic calculus and

structured/exotic derivatives is advantageous but not required).

Professional experience in the Financial Services industry ideally with

experience in trading activities / market risk, quantitative finance, regulatory

projects.

Strong technical background in pricing Fixed Income, Equity and / or

Commodity products.

Proactively able to identify areas of development, improvement or ways to

maximise results and takes initiative to implement relevant actions, in the

short and long term.

Strong relationship management skills and an ability to work with individuals

to ensure the delivery of set objectives.

Strong mathematics and numerical techniques, e.g., linear algebra, root

finding, finite differences.

Advanced programming skills, such as C++, C# and python, with experience

gained in a context of quantitative research (model implementation in an

analytics pricing library).