Morgan McKinley
Fixed Income Financing Quant VP
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Reporting to the Head of Financing Quants and working under close supervision.
The main responsibilities of the role are to:
- Maintain and enhance pricing analytics, coordinate and share knowledge with quants in other locations, improve interfaces, optimize code, follow the team's best practices.
- Develop, test, deliver and support tools based on analytics libraries.
- As and when needed liaise with relevant internal functions such as various teams in the IT Department and Market Risk.
- Help the bank adapt to new regulations and capital charges by providing tools to estimate their impacts.
- Development of quantitative methodologies.
- Pricing libraries of Fixed Income Financing products.
- Participate in the modelling of non-liquid collateral and other credit collateral.
- Participate in the development to help the management of the optimization of resources, capital and liquidity.
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Internal Relationships
- Participate in the global research and development effort on the modelling of Credit products.
- Efficient and professional interaction with the various Financing stakeholders.
- Take an active part in all front office activities by collaborating with other functions (Trading, Sales, IT and Market Risk) and Research globally.
- Interact with traders over functionality requirements, deliveries and support of existing functionality.
- As appropriate liaise with relevant internal risk functions: Legal, Compliance, Market and Credit Risk Management.
- Maintain open communication with team and direct line management to fulfil firm notification requirements and pass on client concerns.
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Experience, Qualifications & Competencies
- Master or PhD degree qualification in mathematics, statistics, physics, engineering or finance/econometrics.
- Knowledge of quantitative finance (knowledge of stochastic calculus and structured/exotic derivatives is advantageous but not required).
- Strong mathematics and numerical techniques, e.g., linear algebra, root finding, finite differences.
- Good knowledge of Fixed Income, Equity & Commodity products.
- Strong programming skills with experience gained in a context of quantitative research (model implementation in an analytics pricing library).
- 5+ years of experience in a quantitative role with experience in Python and C++.
- Working experience in at least one of the following fields:
- balance sheet and resource optimization
- modelling of non-liquid collateral
- short covering / pre trade pricing and market signal
- C++ developer interested in library transformation / refactorization
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