Job description

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  • Location:
    London - 30 Gresham Street
  • Department:
    CIB Tech
  • Division:
    Investec Corporate and Investment Banking
  • Employment Type:
    Full time
  • Salary:
    Competitive

Front Office Cross Asset Quantitative Analyst (1663)

We are looking for a Cross Asset Quantitative Analyst to work in the Quantitative Strategies team our front office trade capture, pricing and risk management system. The system is mainly written in C++ and we are looking for someone with 5+ years' experience of financial modelling in a financial institution. Quantitative Strategies is a team of 20 quants and developers, wholly based in London, that support all derivatives trading businesses. The team works very closely with trading, dealing and market risk. Excellent communication and an ability to work to tight deadlines is essential in this front office role. A large component of the work will be to ensure Investec's readiness for the FRTB regulations.

 

Core skills and knowledge

Quantitative Analysis experience

  • PHD in quantitative subject or Msc in Financial Mathematics ( or similar )
  • Strong C++ skills both on windows and linux.
  • Strong Stochastic calculus
  • Experience Implementing PDE and Monte Carlo Numerical methods + optimisations in C++
  • Strong Communication skills to face off directly with the desk and solve problems in real time

 

Any other attributes that would be helpful, but not essential for the role.

 

  • Experience with Adjoint Algorithmic differentiation (ADD ) for fast risk sensitivities.
  • Equity XVA modelling
  • Metaprogramming experience. C++

 
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Location
London - 30 Gresham Street
30 Gresham Street, London, England, GB, EC2V 7QN
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Meet the recruiter

Rudhir Ramasar

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Benefits

Pension
Private Medical Cover
Virtual GP
Gym Discounts
Psychologist Service
Annual Leave
Life Assurance