Quantitative Trading & Research – Credit Portfolio – Associate or Vice President

Quantitative Trading & Research (QTR) is an expert quantitative modelling group that partners with traders, marketers and risk managers across products and regions, promoting client interaction, product innovation, valuation and risk management, inventory and portfolio optimization, electronic trading and market making, and financial risk controls. 

We are seeking an Associate and Vice President to join our QTR team in London, where you will develop analytics for the Credit Portfolio Group (CPG) within the Markets division of the Commercial and Investment Bank. CPG manages the firm’s credit and funding valuation adjustments (CVA and FVA), which are critical to the bank’s risk management and pricing strategies, and develops and maintains a large-scale Monte-Carlo engine using advanced numerical and computational techniques, including Adjoint Analytic Differentiation (AAD). 

As an Associate and Vice President in the Quantitative Trading & Research – Credit Portfolio team, you will contribute to our agenda to transform the investment bank into a data-promoten business, promoting change through state-of-the-art AI and machine learning techniques.

Job Responsibilities: 

• Design, develop, and enhance our large-scale Monte Carlo simulation engine used for computing Credit Valuation Adjustment (CVA) and Funding Valuation Adjustment (FVA) across the firm's derivatives portfolio.
• Implement advanced numerical techniques to further improve computational efficiency and accuracy of risk sensitivities.
• Contribute to the firm's strategic agenda of transforming the investment bank into a data-driven business through the development of scalable, high-performance analytical tools and infrastructure.
• Collaborate with technology teams, ensuring robustness, performance, and maintainability of code in a large-scale production environment.
• Partner closely with traders, marketers, and risk managers across all products and regions to deliver analytical solutions that meet business needs.
• Contribute to best practices in quantitative research, software development, and analytical rigor across the team.

Required qualifications, capabilities, and skills: 

• Experience within a quantitative role in finance
• Degree in a quantitative field such as Computer Science, Engineering, Mathematics, or Physics
• Demonstrate strong programming skills, particularly in Python, with exposure to the development of large-scale, production-grade systems and a willingness to learn and apply best coding practices
• Ability to contribute to technical projects from conception through delivery, including architecture decisions and stakeholder management
• Support robust system and solution architecture, contributing to rigorous testing, verification, and adherence to best practices in design and implementation 
• Solid software engineering, algorithm design, and development skills with a commitment to robust testing, verification, and code quality standards
• Strong communication and influencing skills, both verbal and written, with the ability to engage partners and stakeholders on complex and technical topics with clarity

Preferred qualifications, capabilities, and skills:

• Advanced degree (e.g. PhD) in Engineering, Mathematics, Physics or Computer Science
• Markets experience and familiarity with general trading concepts and terminology
• Knowledge of options pricing theory, trading algorithms or financial regulations
• Experience with robust testing and verification practices