Front Office Cross Asset Quant Analyst

The quantitative Analysis Division is the front office quant team within the Global Markets (GM) division. We are a small team but cover a broad range of products spanning several asset classes including Fixed Income, Credit and Commodities.

This is a junior to mid-level position to join the . The focus in this role leans towards a quant who can leverage technology (possibly including AI) to automate several tasks. The initial focus will mostly be on the automation of model performance monitoring and several other requirements introduced by the recent deployment of SS1/23 regulations. The other main focus in this role would be to assist in the day-to-day “desk quant” tasks which involve supporting/writing/debugging the in-house library both via Excel but also via vendor systems. We also support all GM’s third-party trading platforms.

What you’ll be doing

• Assist in devising a remediation plan and eventual implementation of all GM in-scope models to ensure SS1/23 compliance
• Discuss, formulate, validate and assist in proposing GM inspired new products/curves/models and present to our internal risk department
• Document and test models (both within the QAD library and third-party vendor models)

What you’ll need to be successful

• A good knowledge of programming languages (Python, C++) and how to work with external API’s
• An understanding of pricing, calibration of models, curve stripping and pricing basic financial products
• An understanding of financial (mostly derivative) products. In particular, interest rate swaps/FX options/credit default swap/commodity swaps.
• Ability to learn new trading systems and intelligently “guess” the system behaviour
• Maths or science-based degree preferably at a Masters level
• Experience in the Murex trading platform would be an advantage but not a requirement
• Logical, diligent and able to communicate with FO, IT, Risk and project boards