eRisk Quantitative Analyst - Investment Banking

eRisk Quantitative Analyst

Principal Accountabilities :

Key activities and decision making areas :

Impact on the Business :

- Quantitative support in the development of pricing strategies for EU/GB/US cash bonds and/or STIRs, Swaps.

- Quantitative support in the development of risk management strategies for cash bonds and/or STIRs, Swaps.

- Quantitative support in the development of market execution strategies on Government bonds Futures.

- Ensuring integrity of data used by eRisk team for quantitative analysis.

- Implementation of performance simulation of market making strategies within a cross-asset back-testing platform.

- Analyses of market execution performance within the hedging strategy.

- Analyses of client flow assigning systematic value to trades.

- Ensuring high-quality of deliveries

Typical Key Performance Indicators and Targets :

- Data-Mining of tick data for various Fixed-Income markets.

- Incremental deliveries of MIS tools

- Increase in hedging strategy profitability

- Quality of testing

- Integrity

- Generation of new ideas

- Culture of various quantitative techniques used for time series analyses.

- Culture of machine learning techniques.

Major Challenges (The challenges inherent in the role that require a continual test of the role holder's abilities) :

- Balancing the need for a continual cycle of development and improvement with the need to minimize operational risk.

- Coordination with Quants in London to ensure timely implementation of deliverables.

- Coordination across a disparate group of stakeholders across many time zones.

- Keeping up to date with current developments in the market place.

Knowledge & Experience / Qualifications (For the role - not the role holder. Minimum requirements of the role.) :

- Ideally educated to PhD level in Mathematics, Physics, Engineering, Data Science. Top tier University

- Knowledge of statistical learning and data-mining technics.

- Knowledge of script programming languages (q, python, matlab)

- Knowledge and understanding of technology related to an electronic trading business.

- Knowledge and understanding of Fixed-Income products.