Job Purpose:
- We are looking for a Quantitative Analyst to join the Credit Quant Team, within the Markets Quantitative Analysis (MQA) department, to support the Fixed Income ETF Business in London
- The Credit Quantitative Analysis team is a global team of quants located on three trading floors worldwide: in London, New York and Hong Kong
- The team’s mandate is to provide quantitative support for the trading and structuring teams in Credit Markets
- The main focus of the group includes: pricing methodologies, hedging strategies, risk management and analytics development
- The quantitative analysts work closely with trading, structuring, IT, risk management, finance and other control functions to have a better understanding of risk and PandL and add value to the business.
Your Responsibilities:
- Research and implement optimization algorithms and market making models for the Fixed Income ETF business
- Implementation of ETF pricing and risk models in the C++ Front-Office Analytics library
- Building tools for PandL, hedging analysis, stress-testing in Python/ Kdb/Excel/VBA
- Research and implement optimal execution algorithms for the Creation/Redemption of ETFs
- Automation of flow analysis and improvements to hedging efficiency and hedge execution algorithms
- Work on general efficiency improvements and optimization, including: performance, memory management, GPUs
- Working on day-to-day support of the business.
Skills and Qualifications:
- Experience in Numerical Analysis, Statistical Methods, Probability and Stochastic Calculus, Optimization and Machine Learning techniques
- Knowledge of ETFs, Fixed income Products and Market Microstructure. Familiarity with systematic trading models (optimal execution algorithms, statistical arbitrage, algorithmic market making)
- Fluency in mathematical finance and statistical analysis. Ability to work with large datasets
- Strong programming skills using Python, R, C++/C# or Java. Proficiency in database applications, such as Kdb, and visualization tools
- PhD or MSc in Mathematics, Physics, Engineering, Finance or Economics
- Attention to detail
- Ability to work in a team and to work well under pressure in a Front-Office environment
- Strong verbal and written communication skills.
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