CIB QR - Quantitative Research Equities – Vice President
Req #: 170101952
Job Category: Accounting/Finance/Audit/Risk
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 we are responsible for providing the evaluation framework for the growing complex tradable 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 talented strategist with a few years of experience, who can make an immediate contribution to a number of our key projects while learning about our businesses and the models we use, via formal and on-the-job training.
Develop further our pricing and risk management library
Liaise with trading and front office to capture requirements and help drive the development of the library and tools around it, in coordination with the technology group
Participate in the re-engineering of the equity derivatives risk management systems and their integration into the qRisk and Athena frameworks
Rapid prototyping of tools
Essential skills, experience and qualifications:
Very strong analytical and problem solving abilities
Strong C++ coding, with emphasis on numerical methods
Thorough understanding of Computer Science
Excellent communication skills
PhD or equivalent degree in Mathematics, Mathematical Finance, Physics or Engineering, with strong Maths.
Python, Equity derivatives modelling, probability theory, stochastic processes, partial differential equations and numerical analysis
All internal moves will normally take place on the same grade and same salary. Salaries are reviewed annually in February. Exceptions to the rule regarding transfer on current salary may include a move between geographic locations.