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    4. FCT Quant Analyst London 2023
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    Business Area

    BNP Paribas’ Global Markets business offers a broad range of products and services in the global interest rates, credit, currency, equities & commodity markets. Global Markets help their franchise of clients find effective ways to raise and invest capital as well as manage their exposure to risk. Their client base comprises of hundreds of corporations, institutional investors, banks, governments and supranational organizations.

    Global Markets has the scale and reach to conduct business anywhere in the world and deliver products denominated in almost all of the world’s currencies. Their global network comprises more than 1,700 professionals working on our six main trading floors in London, Hong Kong, New York, Paris, Singapore and Tokyo. They are supported by regional offices throughout Europe, the Americas, Middle East and Asia-Pacific.

    The Global Market Quantitative team is responsible for designing and developing the models used for pricing, risk management and relative value. GM Quants contribute to the development and support of the pricing and risk management platform. With around 150 people globally, the quantitative research team is present in Europe, Asia and the Americas.

    Purpose & Scope of role

    This role operates under close supervision and direction from line manager to support the FCT area.

    This role focuses on the global management, development, delivery, maintenance and support of FI 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 in order 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.

    Key Responsibilities of role

    Reporting to the Head of FCT Quants and working under close supervision.

    The main responsibilities of the role are to:

    • Maintain and enhance pricing analytics, co-ordinate and share knowledge with quants in other locations, improve interfaces, optimise code, follow the team's best practices.
    • Develop, test, deliver and support tools based on analytics libraries
    • As and when needed liaise with relevant internal functions such as various teams in the IT Department and Market Risk
    • Help the bank adapt to new regulations and capital charges by providing tools to estimate their impacts

    Development of quantitative methodologies

    • Development and implementation of analytic tools to calculate the various pricing analytics adjustments, including cost of collateral, counterparty risk, cost of funding, cost of capital and bank’s resources management
    • Support the teams on pricing all related requests
    • Develop risk management tools
    • Develop tools for PS&F, TRS, Finance, relative to XVA, Leverage, margin calculation, collateral optimisation, balance sheet monitoring, and all other analytics relative to XVA, capital, or cost of financing securities or derivatives
    • Participate to the development of pricing models and tools for initial margin computation and its cost of funding
    • Participate to the joint development of the platform for regulatory /XVA/Financing side, and the Front office platform
    • Contribution to the development of the team analytics library
    • Contribution to the development of the global quantitative library used for valuations and risks of BNP Paribas Global Market Books
    • Design innovative and performant analytic approaches for XVA, Regulatory, and Financing computations
    • Design and implement new pricing, risk management tools and methodologies, and improve the existing ones
    • Support the desks on issues related to prices and trades
    • Hands on C++, C# and python coding of new features in the system with an emphasis on well tested, high quality code which is performant when required
    • Understand the key FX Option risk measures and how they are computed

    Internal Relationships

    • Participate in the global research and development effort on the modelling of Credit products
    • Efficient and professional interaction with the various XVA, Regulatory, Financing stakeholders: CVA trading team, Treasury desk, XVA IT team, Risk, Finance, PS&F
    • Take an active part in all front office activities by collaborating with other functions (Trading, Sales, IT and Market Risk) and Research globally
    • Interact with traders over functionality requirements, deliveries and support of existing functionality
    • As appropriate liaise with relevant internal risk functions: Legal, Compliance, Market and Credit Risk Management
    • Maintain open communication with team and direct line management to fulfil firm notification requirements and pass on client concerns
    • Direct contribution to BNPP operational permanent control framework

    Client Focus

    • Prioritize time/clients according to current strategic criteria
    • Sell the Bank, beyond the products
    • Listen to the client and collect his/her feedback, and be a solution provider
    • Share relevant information with clients

    GM Data and Artificial Intelligence Lab

    • In collaboration with the GM Data and AI Lab, you contribute in building advanced data mining, machine learning and Natural Language Understanding models and systems for the benefit of Global Market business lines. The Lab is supported on the technology side by the Compute team, part of the Quantitative Research, covering all the software infrastructure, deployment, optimization, and computation side of the Lab.

    Experience

    • Master or PhD degree qualification in mathematics, statistics, physics, engineering or finance/econometrics
    • PhD in other Science or engineering field, with an interest in finance modelling
    • Knowledge of quantitative finance and options (knowledge of stochastic calculus and structured/exotic derivatives is advantageous but not required)
    • Strong mathematics and numerical techniques, e.g., linear algebra, root finding, finite differences
    • Good knowledge of Fixed Income, Equity & Commodity products
    • Strong programming skills with experience gained in a context of quantitative research (model implementation in an analytics pricing library).

    Methodologies tools

    • Programming and coding knowledge, ideally knowledge of Ada, C, C++, C# languages and/or Python with a good understanding of what is required to write code which is both easy to test and debug and also achieves good computational performance
    • Good command of Python, VB Script, JavaScript or an equivalent script language
    • Knowledge of the front office platform (‘SORT’)
    • Knowledge of the XVA, Margin and Regulatory Platform platform (‘PAL’)
    • Data retrieval (Bloomberg, Reuters et.), Data manipulation and storage (SQL etc.), scripting languages (python etc.)