The Global Markets Quantitative Research division is in charge of the modelling, pricing & risk management developments for Global Markets products. Role holders within the division focus on the global management, development, delivery, maintenance and support of Global Credit, Global Equities, Global Macro and Platform, Research's cross-asset analytics software libraries. The team operates globally and plays a critical role in providing innovative solutions.
Job Purpose
The structured credit, Vice President level role, is a member of the structured credit quant team. The role holder will lead and deliver medium-sized client pitches and will operate with a degree of independence and autonomy, whilst knowing when complex and high-risk issues need to be referred upwards. The role holder will lead in the delivery of non-routine tasks and activities and will supervise and mentor more junior colleagues to support them with their development.
Key Responsibilities
- Advanced level professional within the Quant research department within Global Markets.
- Acts as a second-line manager with responsibility for managing junior members of the team or interns.
- Actively promotes the market and structured credit models outside to key stakeholders.
- Directs some projects within the department for example credit fast exotics modelling and risk management, responding to any issues or developments within relevant aspects of work.
- Works with more senior members of the team on the below matters:
- Develops, tests, delivers and supports tools based on analytics libraries
- Develops and implements analytic tools to calculate the various pricing analytics for exotic credit products (cdo, cln, leverage notes, repacks, etc).
- Supports the team on pricing all related requests
- Develops risk management tools
- Develops tools for the structured credit trading and structuring teams.
- Contributes to the development of the team analytics library.
- Assists the Bank in adapting to new regulations and capital charges by providing ideas or tools to estimate their impacts.
- Influences and supports members of the team by leading in decision making and approach where problems are more complex and require sophisticated analysis or experience. Acts as a point of escalation for more junior staff.
Requirements
- Professional qualification in mathematics, statistics, physics, engineering or finance / econometrics or a PhD in another Science or engineering field preferred with an interest in finance modelling, along with expert knowledge in structured credit modelling.
- Professional experience in the Financial Services industry ideally with experience in trading activities / market risk, quantitative finance, regulatory projects.
- Strong technical background in Structured Credit modelling for CDOs, Index Tranches, Repacks, Actively Managed Products, etc.
- Proactively able to identify areas of development, improvement or ways to maximise results and takes initiative to implement relevant actions, in the short and long term.
- Strong relationship management skills and an ability to work with individuals to ensure the delivery of set objectives.
- Strong mathematics and numerical techniques, e.g., linear algebra, root finding, finite differences.
- Advanced programming skills, such as C++, C# and python, with experience gained in a context of quantitative research (model implementation in an analytics pricing library).
