Senior Quantitative Analyst
2 weeks ago
Be at the forefront of new pricing and risk calculation methods to adapt to market and regulatory environment changes (for example Libor discontinuation and FRTB). Collaborate with the Ldn FO Quants, Trading desks, Risk and Finance teams.
They will be expected to undertake investigations in a logical and planned manner of a quantitative nature, draw conclusions and present their work to peers and supervisors for assessment and feedback.
Build a team that will take ownership of and work on project work for SAF client projects
Help build out key components/packages in our in-house python library. Disseminate and / or adopt best practices both within the team and when collaborating with FO Quants, Risk and Finance teams.
Eligibility:
Strong technical background in multi-asset class portfolio PnL analysis – encompassing both Risk and Full Reval based PnL explain
Strong mathematical background, preferably with good knowledge in the following disciplines – probability, quantitative finance, stochastic calculus, numerical methods, multivariate statistics, econometrics, optimisation, time series analysis.
Experience in collaborating with traders to develop desk tools and associated infrastructure for use in real time – for example bond relative value analysis, NSS model, SARY model, PCA methods – and owning their ongoing lifecycle management
Minimum 10+ years working experience working on derivatives pricing/Risk knowledge. 6+ years’ python/C++ programming experience.
The candidate will hold a Bachelors/Masters/Doctoral degree in a STEM (Science, Technology, Engineering and Mathematics) subject from a premier academic institution.
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