Quantitative Analyst

2 days ago

London, Greater London, United Kingdom MUFG Securities EMEA plc Full time
About the Role

We are seeking a highly skilled Quantitative Analyst to join our EMEA Markets Engineering department at MUFG Securities EMEA plc. As a key member of our team, you will be responsible for developing and maintaining our in-house quantitative solutions, with a focus on pricing, risk, model calibration, and market data processing.

Key Responsibilities
  • Contribute to the development of our multifunctional in-house quantitative solution, with a focus on pricing, risk, model calibration, and market data processing.
  • Assist in the extension of our pricing library and quality assurance tools to comply with Model Risk Management regulatory frameworks.
  • Analyze desk sensitivities and attribution of PnL, proposing improvements and implementing changes in libraries and tools.
  • Improve the internal market data model for certain data types, such as credit default swaps spreads.
  • Contribute to the effort to remove unused features and dependencies from internal libraries and tools.
  • Contribute to documentation and validation of models.
Requirements
  • Strong understanding of IR derivatives, such as swaps with multi-curve and swaptions with skew, or vanilla derivatives in other asset classes, such as fx options and equity vanilla options.
  • Excellent quants development skills in C# or C++.
  • Experience in front office or model validation, with a minimum of 2 years of experience.
  • Interest rate curve bootstrapping, including knowledge of the impact of interpolation, choice of instruments, curve hierarchy, etc.
  • Clear understanding of risk profiles of xccy swaps and vanilla options.
About MUFG Securities EMEA plc

MUFG Securities EMEA plc is a leading financial institution with a strong presence in the EMEA region. We are committed to embracing diversity and building an inclusive culture where all employees are valued, respected, and their opinions count. We operate a flexible working model with 3 days in the office at Ropemaker Place, London, and are open to considering flexible working requests in line with organisational requirements.

We make our recruitment decisions in a non-discriminatory manner in accordance with our commitment to identifying the right skills for the right role and our obligations under the law.

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