Quant Analyst

Avance Consulting; London; On-site; GBP 50,000 - 80,000; Full time

Job summary

A leading financial consultancy is seeking a quantitative analyst for their QA Equity & Hybrid Products team. The role involves documentation, testing, and enhancement of internal risk models, requiring strong mathematical skills and expertise in C++. Candidates with a Masters or PhD in relevant fields are encouraged to apply.

Qualifications

• Mathematically minded with knowledge of financial mathematics.
• Ability to program numerical algorithms in C++.
• Theoretical knowledge of financial engineering and financial product development.

Responsibilities

• Documentation, testing, and improvements of an internal risk model.
• Liaise with Front Office, Technology, and Model Validation teams.

Skills

Analytical skills

Numerical skills

C++ programming

Communication skills

Education

Masters or PhD in Mathematics/Computer Science

Job description

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The candidate will be a member of The QA Equity & Hybrid Products team, which is part of the Global Quantitative Analytics group (QA) and is responsible for research, development, and implementation of quantitative models for the equity derivatives business.

It covers equity flow products, equity structured & hybrid products, quantitative index, and strategies business.

Your responsibilities :

Documentation, testing, and improvements of an internal risk model, which is owned by The QA Equity & Hybrid Products team and feeds the Credit Valuation Adjustment (CVA) for products sensitive to future implied volatility dynamics (e.g., Corridor Variance Swaps).

Liaise with Front Office, Technology, and Model Validation teams to deploy the risk model to production.

Essential skills/knowledge/experience:

Masters or PhD in Mathematics/Computer Science or related field.

Mathematically minded with knowledge of financial mathematics and ability to program numerical algorithms in C++.

Theoretical knowledge of financial engineering/structuring and financial product development.

Strong analytical and numerical skills.

Strong C++ programming skills, ideally experience working with C++ shared libraries.

Ability to explain complex ideas clearly and coherently to colleagues, traders, sales, and management, both orally and in writing or presentations.

Integrity and a desire to develop correct and robust mathematical models and implementations.

Self-driven with a strong desire to meet deadlines and work accurately, keeping compliance in mind.

Innovative ideas, courage, and a desire to suggest and develop novel approaches.

Good written and verbal communication skills in English.