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    Interest Rate Flow Quantitative Analyst - London, United Kingdom - MUFG

    MUFG
    MUFG London, United Kingdom

    Found in: Talent UK C2 - 1 day ago

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    Full time
    Description

    Do you want your voice heard and your actions to count?

    Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 7th largest financial group in the world. Across the globe, we're 160,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.

    With a vision to be the world's most trusted financial group, it's part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. This means investing in talent, technologies, and tools that empower you to own your career.

    Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.

    The EMEA Markets Engineering (ME) department supports the trading, sales and risk departments across all asset classes in London, New York, Amsterdam, Paris and Hong Kong.

    ME is a team charged with the development of models, pricing tools and system integration used in the firm. Their products support the trading and risk functions using internally developed applications run on traders' desktops, and various pricing and risk systems in the bank.

    Main Purpose of the role:

    To transform the quantitative analytic libraries and its tools into one cutting edge application

    Key Responsibilities:

    Providing quantitative support to the Front Office Rates Business and other related functions within the firm

    Adding support and extension to the Interest Rate Curve library

    In this role, you will be working across MUFG's banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.

    Skills and Experience:

    Essential

    Functional / Technical Competencies:

    Development coding skills in both C++ and C#, used in the context of a large library

    Experience in curve bootstrapping (systems solving, AAD) in the context of a high-speed coding library

    Experience in instrument pricing in the context of curve construction (turns / forward curves / curve hierarchies)

    Experience in complex curves construction (complex curve structures, short-term curve bootstrapping for major currencies, minor currencies construction)

    Experience in Jacobians matrices used in the context of curves sensitivities

    Deep understanding in flow conventions (standard indices, averaging indices, daily compounding conventions, minor currency conventions)

    Expertise in flow rates products valuation (swaps, bonds, futures, future options, non-standard IR products)

    Expertise in volatility products valuation (cap/floors, swaptions, standard and non-standard products, volatility in the context of compounding indices, convexity adjustments)

    Expertise in Excel as used for pricing tools (used in the context of live pricing)

    Deep understanding of sensitivities and P&L attribution for interest rates products

    Understanding of interest rates Market Data

    Work Experience:

    Experience (5y+) as a modelling quant (curve bootstrapping / volatility modelling)

    Experience (3y+) as a front office support quant (desk support, Excel spreadsheet support)

    Beneficial

    Functional / Technical Competencies:

    Very good knowledge of financial products (other than interest rates)

    Personal Requirements:

    Excellent communication skills

    Results driven, with a strong sense of accountability

    Strong decision making skills, the ability to demonstrate sound judgement

    A structured and logical approach to work

    Strong problem solving skills

    The ability to manage large workloads and tight deadlines

    Excellent attention to detail and accuracy

    Strong numerical skills

    We are open to considering flexible working requests in line with organisational requirements.

    MUFG is committed to embracing diversity and building an inclusive culture where all employees are valued, respected and their opinions count. We support the principles of equality, diversity and inclusion in recruitment and employment, and oppose all forms of discrimination on the grounds of age, sex, gender, sexual orientation, disability, pregnancy and maternity, race, gender reassignment, religion or belief and marriage or civil partnership.

    We make our recruitment decisions in a non-discriminatory manner in accordance with our commitment to identifying the right skills for the right role and our obligations under the law.

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