Quant Analyst - Quanteam

JOB: PnL Control Quant Analyst

Location: London – Hybrid working

Full Time Employment – Long Term Engagement

Start Date: ASAP

Product Control:

Fully integrated in the IT and Operations (“ITO) department, Product Control covers a large panel of operational activities aiming to monitor the life cycles of the trades. It starts from the portfolio creation for trade booking, the trade booking itself, the monitoring of the events associated to the trades, the P&L calculation, explanation and validation on a day-to-day basis and the monitoring of the trading activity, ensuring that the traders mark their books to fair value prices. It also encompasses the confirmation of trades with counterparties.

P&L CONTROLS team:

The P&L CONTROLS team operates out of several locations (e.g. London, Paris, Lisbon, Singapore, Hong Kong, Mumbai, Bangalore, New York and Sao Paulo). The team aims to validate the daily P&L figures and to explain them with market moves, related risks as well as the impacts of the new trades booked and the events impacting these trades (corporate actions, expiries, exercises, fixings, etc.).

KEY RESPONSIBILITIES

• Improve the coverage and the validation of the Risk-Based P&L Explain in the context of FRTB.
• Define and implement automated tools to analyse issues impacting Risk-Based P&L Explain Validation.
• Identify a list of priority issues impacting the Risk-Based P&L Explain validation and liaise with IT for resolution.

EXPERIENCE

• Previous experience of front-office risk and PnL support and development.
• Good understanding of equities and commodities products.
• Good knowledge of JAVA/C#/C++, Python, Excel / VBA, SQL (SQL Server, Oracle).
• Candidates with proven experience should also have had good exposure to Derivatives, ideally in a front-office facing role, and an in-depth understanding of the business.
• Deep analysis of Step Reval and Risk Based results as well as investigations of one-off and structural differences to identify and correct pain points (e.g. booking, market data, pricing, model, etc.) with the help of IT and Quantitative Research
• Definition and creation of tools helping to identify and highlight errors affecting the Production of P&L Explains (IT or Quantitative Research) affecting the correlation between Official P&L and Risk-Based explain or reducing the level of Risk-Based P&L validation
• Review and maintain Best Practices, procedures and user guides defining the list of controls which are expected to be followed in order to guarantee the accuracy of the P&L
• Design tools to help decision making, identification of necessary corrections and actions to be triggered to deliver accurate figures in the Explain
• Production of indicators allowing to follow the quality of the production, the reception and validation of P&L Explain results
• Maintain regular contacts with P&L, IT and Quantitative Research in order to optimize exchanges and deliveries
• Organise trainings whenever necessary

QUALIFICATIONS

• Experience working in some Front Office, Research, control or project function within an investment bank
• Master level in Engineering, Mathematics, Physics or financial markets
• Good understanding across asset classes traded in Global Markets
• Good theoretical knowledge of derivative pricing
• Working experience with PNL explains (Step Revaluation as well as Risk Based Explains) and good knowledge / understanding of risk factors (the “Greeks”)
• Good written and oral communication skills
• Expert level in Analysis, Development, Testing
• Excellent Excel, VBA, Word and PowerPoint skills
• Expert level in Python
• Fluent in English

SKILLS

• Hard worker and result orientated
• Be a quick learner with the ability to grasp new concepts
• Comfortable working in a matrix reporting environment
• Ability to deliver quality work under time pressure
• Comfortable communicating with senior managers
• Be a quick learner with the ability to grasp new concepts
• Look to add value in all tasks performed
• Be able to suggest process improvements

WHO WE ARE

Quanteam Group is a Consulting firm specialized in the Capital Markets industry, in Paris, London, Krakow, Brussels, New York and North Africa.

Since 2007, our 800 consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers and Insurance Companies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.

The firm mainly takes part in:

• Business consulting: Quantitative research, Risk management (e.g. Market risk, credit risk, counterparty risk), Banking regulations (e.g. Basel III, Solvency II, FATCA, EMIR, MiFID), Pricing & Valuation, Organizational Transformation & Process Improvement.
• IT & Information systems consulting: Business Analysis, Project Management, Change management, Front Office Support (functional and technical), Development (e.g C++, Python, C#, Java, VBA), Financial Software (e.g. Sophis, Murex, Summit, Calypso), IT Transformation & Innovation.

As part of Quanteam Group, Quanteam UK & PL has today more than 80 consultants, working for major Capital Markets institutions in London and Krakow.