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CIB - Quantitative Research - Equity Derivatives- ED

Job Description


Job Summary:

The QR Equity Risk and Structuring team are responsible for providing the fundamental tools for risk management and PnL analysis across the equity derivatives business, exotics and flow. In addition they are responsible for providing the evaluation framework for the growing complex systematic strategies business. The team works closely with trading and structuring and is part of the wider Quantitative Research group, globally responsible for providing quantitative solutions for pricing, risk management, risk analysis and strategies development to the front office in the Investment Bank. We are supported by a very strong technology group, working in a strong partnership with us.

We are seeking a senior strategist with experience in derivatives pricing and risk management, who can take a leadership role within our team, both in terms of people and projects.


Core Responsibilities:

  • Lead a team of 1 or 2 talented quants
  • Drive a number of key projects our group is working on, including VaR, PnL attribution, Improvements to Risk
  • Liaise with trading, front office, key controls functions to capture requirements and help driving development of the library and tools
  • Participate in the re-engineering of the equity derivatives risk management systems and integration into the firm wide Athena framework



Essential skills, experience and qualifications:

• Modelling of derivatives products (preferably Equity, Commodities or FX)

• People leadership in a front office environment

• Very strong analytical and problem solving abilities

• Thorough understanding of Computer Science

• C/C++ coding with emphasis on numerical methods

• Excellent communication skills.

• PhD or equivalent degree in Mathematics, Mathematical  Finance, Physics or Engineering

• Strong math

Desirable skills/experience: Python, VaR methodology, Derivatives Risk System Architecture, Systematic Strategies, Trading Systems

Req #: 150095165
Location: London, ENG GB
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: 3500 Pound Sterling (GBP)

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