Quantitative Analyst

3 weeks ago

London, United Kingdom Reed Full time

We are looking for a Quantitative Analyst to join our XVACCR, Collateral & Credit Quantitative Research team for an initial 7 month contract . The ideal candidate will have a strong background in quantitative modelling and innovative solutions for XVA, Counterpart Risk, Collateral, and Credit topics. This role involves regular interaction with a broad scope of internal clients and requires a candidate who is highly skilled in programming and numerical methods.

Day-to-day of the role:
  • Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, SIMM, etc.).
  • Develop mathematical tools and pricing models for XVA-linked activity.
  • Provide support and interact with Trading, RPC, and IT partners.
  • Ensure adherence to internal compliance guidelines and regulatory rules.
  • Participate in strategic projects and system migrations, contributing to the development of computational blocks and platforms.
Required Skills & Qualifications:
  • Master’s degree in Computer Science, Engineering, or equivalent experience.
  • High programming skills in C++, SQL, C#, VBA, and other relevant languages.
  • Good knowledge of numerical methods such as Monte Carlo and optimization algorithms.
  • Experience with distributed computing, inter-process communication, and multi-threading programming.
  • Proficiency in Microsoft products: Office, VC++, VBA.
  • Familiarity with SQL, Access, Oracle, and web technologies: XML, XSLT.
  • Strong team orientation with the ability to work independently and self-motivated.
  • Excellent analytical and problem-solving abilities.
  • Creativity in devising and implementing solutions.
  • Good communication skills, both verbal and written.
Desirable Skills & Qualifications:
  • Previous experience in XVA and/or RWA optimisation.
  • Experience with Visual C++ and multi-threading programming.

To apply for the Quantitative Analyst position, please submit your CV and cover letter detailing your relevant experience and qualifications.

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