My client, a tier 1 investment bank, is seeking a high calibre individual with in-depth understanding of credit and interest rate modelling and risk management techniques, to join their Quantitative Analytics Group as a Credit Quantitative Analyst. Experience of coding in C#, C++, Python or similar is desirable.
The Quantitative Analytics group (QA)
Supports Trading businesses within Markets: Macro (Rates, FX, Commodities), Equity, Credit (Credit Products, Securitized Products, Municipals), and Client Capital Management (Counterparty Risk Trading and Loan Portfolio Management).
Supports other critical functions within the Group: Credit, Market and Counterparty Risk, Group Treasury, Finance, and partners with IT on building strategic platforms.
Partner with Trading, Risk, Treasury and Finance to deliver solutions for risk management, capital utilization, regulatory requirements, business innovation, and changes in markets structure.
Drive, together with IT, strategic technology change and to minimize the number of IT systems, build standard shared components, and focus on high performance.
Overall purpose of role
Support and implementation of credit models. Day to day support of the trading desk and associated teams.
Creation of tactical tools for stakeholders
Correct and accurate implementation of analytic models within the QA libraries
Assisting all stakeholders on capital and risk management of various credit products
Influence on modelling choices
Stakeholder Management and Leadership
Key stakeholders are Credit Trading, Credit Quantitative Analyst Team, Risk Managers, the Technology Department, and the rest of QA. The role will require considerable interaction with the trading desk, risk and analytics technology teams. The successful applicant should be able to clearly express complex technical issues and requirements, and work constructively with all stakeholders to progress.
Decision-making and Problem Solving
The role requires both evaluative judgement and analytical skills. In particular, it will require:
A methodical aptitude for problem solving
Ability to learn quickly
Ability to adapt to change and work in a fast-changing environment
Initiative to spot potential problems and finds innovative ways to solve them
Ability to balance tactical and strategic solutions in line with the overall needs of the bank
Your Skills and Qualifications will include
PhD in technical discipline (Physics, Engineering, Maths, Stats, Economics/Econometrics) from a top school.
Credit Quantitative Analyst experience - ideally working as a Credit Desk Quant, or within Counterparty Credit RIsk
In depth understanding of modelling either credit or interest rate derivatives/bonds
In depth knowledge of risk management techniques as applied to credit or interest rate products
Experience of working closely with the trading desk
Commercial acumen with good written and verbal communication in English
Quant library experience
Desirable Skills and Qualifications include:
In depth understanding of modelling credit products (for example: CDS, CDS Index, CDS Index Option and corporate bonds)
Experience of Capital Management, CDS Clearing or Margin allocation
Experience of coding in C#, C++, Python or similar
Experience developing in a shared codebase with multiple developers