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    Associate, Quantitative Analysis - London, United Kingdom - The European Bank for Reconstruction and Development

    The European Bank for Reconstruction and Development
    The European Bank for Reconstruction and Development London, United Kingdom

    3 weeks ago

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    Description

    Purpose of the Job

    The Associate, Quantitative Analysis, is a specialist who performs a variety of highly technical tasks pertaining to the valuation (including xVAs) and risk management of derivatives and complex financial products. This includes providing quantitative analysis as well as designing, implementing and maintaining pricing tools and libraries developed in C++.

    Accountabilities & Responsibilities

    The Associate, Quantitative Analysis, undertakes the following responsibilities and activities:

  • Under direction of the Associate Director or another team member, contributes to the design and implementation of solutions in C++ or another agreed programming language.
  • Works closely with Treasury portfolio managers and traders to analyse proposed new types of instruments/trades and recommends appropriate modelling and pricing methodology.
  • Helps design and implement pricing and analytical tools in a mathematically sound way. This includes the modelling of interest rates, foreign exchange, commodities, equities, credit and inflation, either as standalone asset classes or as hybrids (e.g. long term IR+FX model).
  • Develops, maintains and enhances own developed applications, within an existing framework, for use by the Treasury department.
  • Develops, maintains and enhances pricing templates in existing third-party valuation systems for complex products to feed valuations to Front, Middle and Back Office.
  • Assists in providing an independent and technical advice and influence on all quantitative issues. This includes assessing internal and external pricing and risk management systems, upon request.
  • Takes ownership of activities on team work plan and delivers to agreed timelines.
  • Proactively supports other team members on project activities as required.
  • Maintains knowledge of latest developments and techniques in the Quant world as well as IT technologies.

    • Knowledge, Skills, Experience & Qualifications

  • MSc in finance or sciences, or equivalent experience
  • Demonstrated experience working in Financial Services
  • Strong quantitative skills in financial modelling, including stochastic calculus, numerical methods and application of the options theory.
  • Good understanding of financial instruments in general and in particular interest rates, foreign exchange, equity and credit derivatives.
  • Good understanding of risk management and portfolio valuation techniques (e.g. VaR, sensitivities, CVA/DVA, FVA).
  • Proficient in C++, Excel, VBA, databases, Json/XML, SQL, Matlab, SVN.
  • Knowledge of NumeriX and Summit or similar systems
  • Ability to communicate well with all levels of the business community, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff.
  • A methodical and practical approach to problem solving and troubleshooting.
  • Demonstrated experience contributing to and delivering projects as part of a team

    • What is it like to work at the EBRD?

    Our agile and innovative approach is what makes life at the EBRD a unique experience You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people's lives and help shape the future of the regions we invest in.

    The EBRD environment provides you with:

  • Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in;
  • A working culture that embraces inclusion and celebrates diversity;
  • An environment that places sustainability, equality and digital transformation at the heart of what we do.
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