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This firm are looking for a Cross-Asset Quantitative Analyst to work in the Quantitative Strategies team, responsible for the firms' front office trade capture, pricing and risk management system.
Covering all asset classes and working with trading teams across the firms' derivatives businesses, this role will also require the individual to take on core responsibilities for project-based deliverables (XVA modelling for FRTB etc.) alongside desk support for derivatives pricing.
The library is mainly written in C++, and this individual will be someone with extensive experience of financial modelling in a financial institution.
Quantitative Strategies is a team of 14 quants and developers, wholly based in London, that support all derivatives trading businesses.
Quantitative Analyst experience at a senior level, with exposure to FX pricing
PhD in quantitative subject or MSc in Financial Mathematics (or similar)
Excellent C++ skills both on Windows and Linux.
Strong Stochastic calculus
Experience Implementing PDE and Monte Carlo Numerical methods plus optimisations in C++
Strong Communication skills to face off directly with the desk and solve problems in real time
Experience with Adjoint Algorithmic differentiation (ADD) for fast risk sensitivities.
XVA modelling (preferred but not essential)
Our client is an international banking group providing a diverse range of financial products and services to a niche client base in across a Europe, North America & APAC.
Since its inception, it has expanded through a combination of substantial organic growth and a series of strategic acquisitions in its primary international locations.
The culture and environment is a key factor in achieving the firms' ambitions – Operating an entrepreneurial environment with a flat corporate structure, working at this firm offers the opportunity to gain extensive and broad exposure across the entire organisation, and work directly with key stakeholders at all levels up to CxO & Board level.
Internal Number: 7876310
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