A global investment bank is currently recruiting for a Quantitative Analyst for an initial 6 month contract with extensions highly likely.
The role will be based in Liverpool street with hybrid working available with a day rate up to £870 inside IR35.
Summary
You will be sitting within the XVACCR, Collateral & Credit Quantitative Research. The mandate of the quant team: is to produce quantitative modelling and innovative solutions for XVA, Counterpart Risk, Collateral and Credit topics. The quant team regularly interacts with a broad scope of internal clients:
- XVA and Scarce Resources desk for XVA pricing and modelling
- Risk department for Internal & Regulatory CCR, Accounting XVA, and SIMM
- Collateral desk for discounting, SIMM and IMVA with CCPs
- Trading and Risk Management for Credit derivatives.
The quant team closely works with the business to study and assess the models' behaviour and performance. It also plays a significant role in several strategic XVA and RWA projects by producing computational blocks using cutting-edge modelling and implementation techniques to ensure the bank can cope with the increasing list of regulatory measures (XVAVaR, SACCR, FRTB-CVA) and metrics needed to manage our XVA reserves properly (Optimisation modules, Sensitivities with AAD, Machine Learning).
The quant team continuously builds and upgrades XVA libraries and platforms to implement regulatory changes in an optimised architecture. The team is also actively participating in developing the Collateral management platform for CCP and EMIR Initial Margin and working on various FO and Risk systems migration projects. Supporting the ‘XVA and Scarce Resources Management ‘and ‘Collateral Management' functions.
Key Responsibilities
- Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, SIMM ...).
- Define and implement mathematical tools and pricing models for XVA-linked activity.
- Interact and support Trading, RPC and IT partners.
SPECIAL ROLE REQUIREMENTS:
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High programming skills (C++, SQL, C#, VBA ...).
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Good knowledge of numerical methods such as: Monte Carlo, Optimization algorithms, ... .
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Recent experience and strengths in most of the following:
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distributed computing and Inter-process communication
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Multi-threading programming
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Microsoft products: Office, VC++, VBA
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SQL, Access, Oracle
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Web technologies: XML, XSLT
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Strong team orientation, ability to work alone and highly self-motivated
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Able to adapt and learn new technologies quickly
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Results and time oriented
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Excellent analytical and problem-solving abilities
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Creative, can devise and implement multiple solutions
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Good communication skills - both verbal and written
If you have suitable skills and experience for this role, apply now and we'll be in touch.