Fixed Income Financing Quant VP

Morgan McKinley; Greater London; On-site; GBP 90,000 - 120,000; Full time

Job summary

Morgan McKinley is seeking an experienced Quantitative Finance professional to join our Financing Quants team in London. The role focuses on maintaining and enhancing pricing analytics, coordinating with quants across locations, and improving interfaces and code.

You will develop, test, deliver and support analytics tools, liaise with IT and Market Risk, and contribute to regulatory adaptation and capital charge estimation. Strong programming in Python and C++ is required.

Qualifications

• 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++

Responsibilities

• 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 Income 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
• 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

Skills

Python

C++

Quantitative finance

Mathematics

Linear algebra

Root finding

Finite differences

Fixed Income

Equities

Commodities

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