Analyst, Treasury Analytics

at  European Bank for Reconstruction and Development

Requisition ID

35037
Office Country

United Kingdom
Office City

London
Division

Treasury Department
Contract Type

Fixed Term
Contract Length

2 years
Posting End Date

01/10/2024

KNOWLEDGE, SKILLS, EXPERIENCE & QUALIFICATIONS

• Degree in finance or sciences or equivalent experience
• Strong quantitative skills in financial modelling, including stochastic calculus, numerical methods and application of the options theory.
• Experience of working in another Financial Institution
• 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++, Python, Excel, VBA, databases, Json, SQL, Matlab, SVN.
• QuiC and/or NumeriX, DLL and XLL development, QuantLib or other pricing libraries, scripting language
• Excellent communication skills, fluent in English language with good presentation skills
• Team player.

PURPOSE OF JOB

The Analyst, Quantitative Analyst, 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 Analyst, Quantitative Analysis, is expected to perform the following duties:

• Assist when needed with the development of the in-house pricing library using C++, Python and SQL
• Maintain and further develop the Treasury TAG web platform, and TAG-analytics Excel Addin(s)
• Develop market data “feeding” infrastructure and other automation tasks
• Help propose, 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).
• Assist developing, maintain and enhance own developed applications used as decision making tools by the Treasury department.
• Develop, maintain and enhance pricing templates in the internal valuation system for complex products to feed valuations to Front, Middle and Back Office.
• Assist in providing an independent and technical opinion on all quantitative issues. This includes assessing internal and external pricing and risk management systems, upon request.
• Closely interact with Treasury portfolio managers and traders to analyse proposed new types of instruments/trades and recommend appropriate modelling and pricing methodology. Be pro-active and keep up with the latest developments and techniques in the Quant world as well as IT technologies.