The Quantitative Research team is tasked to maintain and build along with the Global Markets IT team, new architectures and solutions to streamline and harmonize the pricing, risk and P&L chain for different asset products (ex: interest rate, FX, credit flow, equities and derivatives)
This is an opportunity to work on re-engineering plans with ambitious targets and requires a significant number of experts to work together and deliver new platforms.
- Liaise with quantitative research to adapt Risk and P&L Explain calculation following model changes or to improve P&L Explain for existing models;
- Increase coverage of the platform and help roll it out to users not yet on-boarded;
- Participate in the development of the platform to ensure code base remains production level;
- Generally, work in collaboration with Quant Research to ensure high level of availability of the platform;
- Assist traders when they require expert inputs to help them understand their P&L and revenue drivers.
Is this project fitting for you?
- Good knowledge of an asset class (fixed income or equity derivatives);
- Prior experience in front office quantitative research is mandatory;
- Strong mathematical experience (numeric analysis, algorithm, etc.);
- Extensive experience with C++, C#, Java or Python;
- Comfortable with large scale libraries and working with different profiles (quants, IT etc.);
- Ability to propose new design patterns and architectures with a strong emphasis on clean and ordered code with a focus on industrialization.
Your key assets:
- Good interpersonal skills given the numerous actors in this re-engineering project;
- Able to work autonomously within the requirements of the project and the quant team;
- A flexible, hands-on attitude and willingness to make things happen.