Manager, Quant Analyst

Department: Insto Markets Franchise Trading Division: Institutional Location: London

About Us

At ANZ, we are shaping a world where people and communities thrive, driven by a common goal: to improve the financial wellbeing and sustainability of our customers. Our Institutional bank helps our largest customers move trade and capital around the region, providing our people with great opportunities to build their technical expertise and their careers.

About the Role

The Quant Analyst Manager will be working as part of the Front Office Quants and Analytics team towards Sky platform build and support and will be based in London. Sky is an ANZ-developed front-to-back integrated pricing and risk management system that provides a single source of real-time pricing, valuation and risk management for markets related activity across ANZ. Launched in 2014, it has grown from being a rates-only platform to the preferred solution for all products at ANZ.

The role requires product and modelling knowledge and experience in one or more of the following asset classes:

• Interest Rate Exotics
• FX Options and Exotics
• Commodity derivatives

Cross asset product knowledge including prior experience of XVA framework (CVA, FVA, RWA, or KVA) modelling approaches, and other aspects of counterparty credit risk management would be greatly advantageous. Also, familiarity with software development lifecycle and processes (e.g., testing, code reviews, source control and issue tracking) is essential.

Role Type: Permanent, Full Time

What will your day look like?

Your key responsibilities will include but are not limited to:

• Design, implement, test, and support the core analytics library for Markets Front Office across multiple asset classes.
• Develop pricing and risk models, leveraging advanced financial mathematics, statistical and probabilistic methods, as well as numerical methods such as Monte Carlo and Partial Differential Equation solvers.
• The primary programming language used in the core Sky library development is C++.
• Develop, implement, test, and deploy advanced Greeks methods such as AAD (Algorithmic Adjoint Differentiation).
• Close collaboration and support of FO trading, structuring as well as other enablement functions such as model validation.

What will you bring?

To grow and be successful in this role, you will bring the following:

• Solid experience in a comparable quantitative modelling role, ideally in the financial industry.
• Financial product knowledge as well as hands-on experience implementing quantitative models in a Front Office setting.
• Fast and eager learner, with good analytical and communication skills.
• Excellent technical and programming skills in C++ as well a solid understanding of software design principles and software development life cycle.

So why join us?

From the moment you join ANZ, you will be doing meaningful work that will shape a world where people and communities thrive. But it is not just our customers who will feel your impact; you will feel it too. Because at ANZ, you will have the resources, opportunities, and support you need to take the next big step in your career. We are a diverse bunch at ANZ in different roles, different locations, doing different things. That is why we have a range of flexible working arrangements, so our people can 'make work, work for them'. We also provide a range of benefits including access to health and wellbeing services and discounts on selected products and services from ANZ and more. At ANZ, you will be part of an organisation where the different backgrounds, perspectives and life experiences of our people are celebrated. That is because we are committed to building a workplace that reflects the diversity of the communities we serve. We welcome applications from everyone and encourage you to talk to us about any adjustments you may require to our recruitment process or the role itself. If you are a candidate with a disability or access requirement, let us know how we can provide you with additional support.