As a bulge bracket bank and one of the world's largest and most respected financial institutions, with more than 300 years of success, quality, and innovation, our client offer careers that provide endless opportunity - helping millions of individuals and businesses thrive and creating financial and digital solutions that the world now takes for granted.
You will expand current product suite and develop new models for pricing rates/hybrid derivatives. Maintaining and upgrading existing rates/hybrid option models and development is just part of your role. You'll frequently liaise with rates options trading on issues ranging from risk management, ad-hoc product analyses, production rollout and library release. This is a great chance to enhance model management through automation and development of new approaches.
Responsiblities:
- Supporting the quantitative research framework using C++, Python and other in-house domain specific languages
- Developing and maintaining an open and constructive dialogue with colleagues, model owners, validation teams and other external stakeholders on model developments etc
- Aiding and providing guidance to the users of quantitative tools and models as and when required
- Carrying out quantitative research projects and analysis as required
- You will be documenting new models to required standards
- Working with and provide support to IT on integration of analytics
Requirements:
- Post graduate degree in a quantitative discipline (Mathematics, Statistics, Physics, Engineering, Econometrics)
- Exceptional numerical programming ability using C++ and Python
- Excellent stakeholder management skills with experience from complex projects
- Track record of producing high quality written communication including results of research and presentations for technical and non-technical audiences
- Previous exposure to rates, credit and/or FX products and models
