Analyst, Treasury Analytics

TN United Kingdom; London; On-site; GBP 60,000 - 100,000; Full time

Job summary

An established industry player is seeking a Quantitative Analyst to engage in the valuation and risk management of derivatives and complex financial products. This role involves developing and maintaining pricing tools, collaborating with portfolio managers, and providing independent technical opinions on quantitative issues. Join a diverse international organization that values innovation, sustainability, and equality, and enjoy a culture that promotes engaging work and digital transformation. If you are passionate about finance and technology, this opportunity is perfect for you.

Qualifications

• Strong skills in financial modeling and options theory.
• Experience in a financial institution with quantitative analysis.

Responsibilities

• Assist in developing the in-house pricing library using C++, Python, and SQL.
• Design and implement pricing and analytical tools for financial asset classes.

Skills

C++

Python

SQL

Financial Modeling

Stochastic Calculus

Numerical Methods

Options Theory

Excel

VBA

Risk Management

Education

Degree in Finance or Sciences

Tools

Matlab

SVN

QuantLib

Job description

Job Description:

The Analyst, Quantitative Analyst, performs highly technical tasks related to the valuation (including xVAs) and risk management of derivatives and complex financial products. Responsibilities include providing quantitative analysis, designing, implementing, and maintaining pricing tools and libraries developed in C++.

Accountabilities & Responsibilities:

• Assist in developing the in-house pricing library using C++, Python, and SQL.
• Maintain and develop the Treasury TAG web platform and TAG-analytics Excel Addin(s).
• Develop market data feeding infrastructure and automation tasks.
• Design and implement pricing and analytical tools, modeling various financial asset classes.
• Develop and enhance applications used as decision-making tools by the Treasury department.
• Maintain and improve pricing templates in the internal valuation system for complex products.
• Provide independent technical opinions on all quantitative issues, including assessing pricing and risk management systems.
• Collaborate with portfolio managers and traders to analyze new instruments and recommend modeling and pricing methodologies.

Knowledge, Skills, Experience & Qualifications:

• Degree in finance, sciences, or equivalent experience.
• Strong skills in financial modeling, stochastic calculus, numerical methods, and options theory.
• Experience in a financial institution.
• Understanding of financial instruments, especially interest rates, FX, equities, and credit derivatives.
• Knowledge of risk management and portfolio valuation techniques.
• Proficiency in C++, Python, Excel, VBA, databases, Json, SQL, Matlab, SVN.
• Experience with QuiC/NumeriX, DLL/XLL development, QuantLib, scripting languages.
• Excellent communication skills in English and good presentation skills.
• Team player.

Working at EBRD:

Join our innovative, diverse international organization to make a difference. Enjoy varied, engaging work, an inclusive culture, and a focus on sustainability, equality, and digital transformation.