Our QR team's mission is to develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure. 

The QR Markets Capital team sits within Quantitative Research and is responsible for the quantitative framework of the risk management (in particular market risk models) and regulatory capital. The role sits within the Rates asset class team covering the Global Rates and Rates Exotics business. This includes responsibility for methodology, model development, the testing and implementation of analytics used to monitor and analyze the performance of the framework. The group works  closely with other Quantitative Research teams, coverage teams (Trading and Market Risk), Technology and Model Risk teams.

Job Summary:

As an Associate within the Quantitative Research, Markets Capital Rates team, you will be part of the firm’s effort to enhance the strategic risk system there is a strong requirement for new model development, involving significant research and development, and implementation in Python. You will get a chance to utilize your quantitative knowledge, statistical modelling and  data science skills. Derivatives pricing knowledge, strong coding skills and good communication, being able to work well both independently and as part of team will contribute to your success in this role.

Job responsibilities:

Develop mathematical models for market risk quantification across the Bank’s portfolio Carry out research projects in order to define methodologies and improve Market Risk and regulatory capital framework Implement new models including maintenance of the existing models Provide a quantitative support to the users (trading, market risks coverage teams) Liaise with various functions such as Market Risk Technology, Market Risk Coverage, Markets Capital Core Analytics, Quantitative Research and Model Risk

Required qualifications, capabilities, and skills:

You have PhD/Masters or equivalent degree in Mathematics, Physics,  Math Finance or Engineering You demonstrate substantial Python programming experience You have strong analytical and problem solving abilities You demonstrate excellent communication skills, both verbal and written You have good understanding of derivatives valuation models

Desirable skills, experience, and qualifications:

You demonstrate knowledge of rates derivative pricing, probability theory, stochastic process, partial differential equations, numerical analysis, statistics, time series analysis, machine learning You have knowledge of quantitative risk modelling; VaR, risk capital models, stress methodology You demonstrate experience in model development or model validation