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We have open placement positions in the quant teams supporting our Business Lines (Rates, Credit and FX).
The Rates, Credit and FX quantitative research teams are responsible for the development of pricing and risk management models for Trading and Sales. They have daily exposure to structurers, traders, sales as well as our technology and risk management teams.
What you will do
- Create and implement the mathematical models and strategies used for pricing and market making
- Support Trading, Sales and Structuring on a day-to-day basis by helping analyse specific trades/risks and applying the optimal pricing model
- Pricing, risk management and relative value for flow, exotic and primary desks
- Assess the suitability of the models used by reviewing their assumptions, derivation, implementation and limitations
- Responsible for best practices for PnL Explain and Predict globally
- Involvement in key transversal regulatory topics such as FRTB or MIFID II
- Interaction with risk teams for market risk capital models such as VaR, Stressed VaR, IRC, CRM or IMM.
Technical skills required
- A minimum of a Masters or PhD in a quantitative subject such as Computer Science, Mathematics, Physics, Quantitative Finance or Engineering
- Excellent programming skills (C++, Python, Java, R or other equivalent)
- Data manipulation and database experience
- Interest in financial markets, economics and quantitative finance
- Experience of electronic markets, models and arbitrage strategies is not a prerequisite but a strong plus
Start Date: ASAP
Duration: 6-11 months
