Quantitative Research – Financing Bonds and Inflation – Vice President

Last updated an hour ago
Location:Greater London
Job Type:Full Time

Opportunity

We’re seeking a person to join a team within Rates Quantitative Research working on some important and relatively unexplored topics: structured repos, inflation exotics, bespoke bond derivatives, pricing of less-liquid securities, relative value, collateral optimisation, pricing and risk management tools for repo and bond traders.

We expect the person to share in a balanced mixture of responsibilities, including support for and discussions with traders, model research and development, model documentation, pricing and risk investigation, product-specific analysis, software and trading tool development.

Responsibilities

  • Develop models and implement them in Python/C++ for pricing and risk managing trades;
  • Rapidly build prototype models and tools; compare results of various techniques;
  • Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance/debug analytics;
  • Write well-formulated documents of model specification and implementation testing.

Essential skills, experience and qualifications

  • Strong software development and Python/C++ skills;
  • Strong analytical and problem solving abilities;
  • Familiarity with probability theory, stochastic processes, and numerical analysis;
  • Good communication skills, both oral and written;
  • PhD or equivalent in Mathematics, Math Finance, Physics, or other quantitative subject.

Desirable

  • Knowledge of financial products, from loans, repos and bonds to structured and exotic deals;
  • knowledge of machine learning/statistical techniques.