Fixed Income Financing Quant VP

Morgan McKinley; Greater London; On-site; GBP 80,000 - 120,000; Full time

Job summary

Morgan McKinley in London is seeking a quantitative finance professional to support pricing analytics and tool development. You will work under the Head of Financing Quants, enhancing interfaces and coordinating with quants across locations.

The role requires strong mathematics, expertise in Python and C++, and experience with Fixed Income and derivatives. You will also model non-liquid collateral and help optimize capital and liquidity.

Qualifications

• Finance/econometrics background required or strongly preferred.
• Strong mathematics and numerical techniques are essential.
• Experience with Python and C++ in a quantitative research context.

Responsibilities

• Maintain and enhance pricing analytics and coordinate with quants in other locations.
• Develop, test and support tools based on analytics libraries.
• Collaborate with IT, Market Risk, Trading and Sales on requirements and delivery.
• Model and price Fixed Income, Equity and Commodity products; research non-liquid collateral.
• Contribute to optimization of resources, capital and liquidity through quantitative methods.

Skills

Python

C++

Quant research

Fixed income

Derivatives

Stochastic calculus

Mathematics

Numerical methods

Education

Finance / Econometrics

Job description

Reporting to the Head of Financing Quants and working under close supervision.

The main responsibilities of the role are to:

Maintain and enhance pricing analytics, co-ordinate and share knowledge with quants in other

locations, improve interfaces, optimise code, follow the team's best practices.

Develop, test, deliver and support tools based on analytics libraries

As and when needed liaise with relevant internal functions such as various teams in the IT Department and Market Risk

Help the bank adapt to new regulations and capital charges by providing tools to estimate their

impacts Development of quantitative methodologies

Pricing libraries of Fixed Incomed Financing products

Participate in the modelling of non-liquid collateral and other credit collateral

Participate in the development to help the management of the optimization of resources, capital and liquidity

Internal Relationships

Participate in the global research and development effort on the modelling of Credit products

Efficient and professional interaction with the various Financing stakeholders

Take an active part in all front office activities by collaborating with other functions (Trading, Sales, IT and Market Risk) and Research globally

Interact with traders over functionality requirements, deliveries and support of existing functionality

As appropriate liaise with relevant internal risk functions: Legal, Compliance, Market and Credit Risk Management

Maintain open communication with team and direct line management to fulfil firm notification

requirements and pass on client concerns

Experience, Qualifications & Competencies

finance/econometrics

Knowledge of quantitative finance (knowledge of stochastic calculus and structured/exotic derivatives is advantageous but not required)

Strong mathematics and numerical techniques, e.g., linear algebra, root finding, finite differences

Good knowledge of Fixed Income, Equity & Commodity products

Strong programming skills with experience gained in a context of quantitative research (model

implementation in an analytics pricing library)

5+ years of experience in a quantitative role with experience in Python and C++

working experience in at least one of the following fields:

- balance sheet and resource optimization

- modelling of non-liquid collateral

- short covering / pre trade pricing and market signal

- C++ developer interested in library transformation / refactorization