Quantitative Trading & Research – Credit Portfolio – Associate

Quantitative Trading & Research (QTR) is an expert quantitative modelling group that partners with traders, marketers and risk managers across products and regions, promoting client interaction, product innovation, valuation and risk management, inventory and portfolio optimization, electronic trading and market making, and financial risk controls.

Job summary:

We are seeking an Associate to join the QTR team in London. In this role, you will develop models and analytics for the Credit Portfolio Group (CPG) within the Markets division of the Commercial and Investment Bank. CPG manages the firm’s credit and funding valuation adjustments (CVA and FVA), which are critical to the bank’s risk management and pricing strategies, and develops and maintains a large-scale Monte Carlo engine using advanced numerical and computational techniques. As an Associate in the Quantitative Trading & Research – Credit Portfolio team, you will focus on delivering best-in-class models and systems to support CPG. You will have a chance to develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure, with direct exposure to the trading desk.

Job Responsibilities:

• Develop pricing models for CPG.

• Enhance the Monte Carlo engine, focusing on convergence and performance.

• Build analytical tools for front office use, including pricing tools and model calibration and model performance utilities.

• Provide quantitative support for new transaction pricing, risk management, and engagement with key control functions.

• Contribute to model documentation and testing.

Required qualifications, capabilities, and skills:

• Advanced degree in a quantitative field such as Engineering, Mathematics, Physics, or Computer Science.

• Strong analytical and problem-solving abilities.

• Strong software development skills in Python or C++.

• Familiarity with probability theory, stochastic processes, numerical analysis, and statistics.

• Good communication skills, both oral and written.

• Ability to explain complicated technical concepts to a non-technical audience.

• Ability to thrive in a fast-paced environment of real-time market pressures, remaining focused on client needs.

Preferred qualifications, capabilities, and skills:

• Markets experience and familiarity with general trading concepts and terminology.

• Knowledge of options pricing theory, stochastic models in finance, and machine learning techniques.

• Experience with robust testing and verification practices.