Fixed Income Financing Quant VP

Reporting to the Head of Financing Quants and working under close supervision.

The main responsibilities of the role are to:

 Maintain and enhance pricing analytics, co-ordinate and share knowledge with quants in other

locations, improve interfaces, optimise code, follow the team's best practices.

 Develop, test, deliver and support tools based on analytics libraries

 As and when needed liaise with relevant internal functions such as various teams in the IT Department and Market Risk

 Help the bank adapt to new regulations and capital charges by providing tools to estimate their

impacts Development of quantitative methodologies

 Pricing libraries of Fixed Incomed Financing products

 Participate in the modelling of non-liquid collateral and other credit collateral

 Participate in the development to help the management of the optimization of resources, capital and liquidity

Internal Relationships

 Participate in the global research and development effort on the modelling of Credit products

 Efficient and professional interaction with the various Financing stakeholders

 Take an active part in all front office activities by collaborating with other functions (Trading, Sales, IT and Market Risk) and Research globally

 Interact with traders over functionality requirements, deliveries and support of existing functionality

 As appropriate liaise with relevant internal risk functions: Legal, Compliance, Market and Credit Risk Management

 Maintain open communication with team and direct line management to fulfil firm notification

requirements and pass on client concerns

Experience, Qualifications & Competencies

 Master or PhD degree qualification in mathematics, statistics, physics, engineering or

finance/econometrics

 Knowledge of quantitative finance (knowledge of stochastic calculus and structured/exotic derivatives is advantageous but not required)

 Strong mathematics and numerical techniques, e.g., linear algebra, root finding, finite differences

 Good knowledge of Fixed Income, Equity & Commodity products

 Strong programming skills with experience gained in a context of quantitative research (model

implementation in an analytics pricing library)

 5+ years of experience in a quantitative role with experience in Python and C++

 working experience in at least one of the following fields:

- balance sheet and resource optimization

- modelling of non-liquid collateral

- short covering / pre trade pricing and market signal

- C++ developer interested in library transformation / refactorization