Cross Asset Quant
Posted Feb 14, 2023 - Requisition No. 102546
Bloomberg’s Quantitative Analytics team is responsible for the design and implementation of modelling analytics that support client pricing and risk management solutions for financial products across the entire suite of Bloomberg products and services, including its terminal with 300,000+ clients, trading system solutions, buy- and sell-side enterprise risk management, and derivatives valuation services. These models include those for pricing derivative products across all major asset classes, including market data; counterparty credit, XVA and initial margin; value-at-risk and other market risk metrics; and credit risk models. The team has two recent Risk Quant of the Year winners and is dedicated both to novel research as well as efficient model delivery through a modern C++ library.
Within the Quantitative Analytics team, the Portfolio Analytics group is responsible for developing efficient solutions for vanilla and exotic derivative portfolio valuation and sensitivity calculations and XVA, as well as deploying these into production in collaboration with our Model Validation, Engineering and Product Manager partners.
The Portfolio Analytics group has an open position in London for an expert quantitative analyst to support our investment in new methodologies needed by our growing client business.
We'll trust you to:
- Industrial-strength implementation of derivative portfolio analytics:
- Refactor existing single-trade vanilla and exotic derivative pricing models to enable Algorithmic-Differentiation (AD) support
- Contribute to the design and extension of a derivative portfolio sensitivity calculation framework
- Design and extend the public APIs for sensitivity calculations
- Write modern, clean, reusable, well tested, peer-reviewed C++ code
- Improve the performance of derivative portfolio workflows, to reduce hardware costs
- Consolidate portfolio analytics workflows in the quant libraries to drastically increase front-to-back system performance
- Product management:
- Translate business requirements into detailed math that translates well into algorithms
- Handle workflows and requirements from sell- and buy-side clients, both for trading and regulatory purposes
- Provide mathematical and technical documentation to internal partners and external clients
- Keep up to date with mathematical, technical and regulatory innovation in the financial industry
- Stakeholder relationship management:
- Work closely with quants and quant developers to quickly iterate design and modelling decisions
- Liaise with business stakeholders: discuss and finalise specs, solve project issues
- Work closely with our Engineering department to integrate quant code into IT systems
- Discuss functionality and tests with Model Validation for release to production
You'll need to have:
- A Masters or PhD level qualification from a leading university in a quantitative discipline (such as Mathematics, Physics, Engineering or Quantitative Finance).
- Significant experience (VP level or above) from a leading buy or sell-side institution developing, implementing, and delivering derivative portfolio pricing analytics for single or multiple asset classes.
- Experience of advanced sensitivity calculations such as multi-curve interest rate risk, using Algorithmic Differentiation is useful.
- Proficient in modern C++ software design and implementation. Familiarity with Python is useful, but not essential.
- Good communication and writing skills and ability to interact productively and positively with multiple partner teams, both internally and with external clients.
We'd Love to see:
- Experience in IR linear products and curves construction is useful.
Bloomberg is committed to diversity. It drives our innovation. At Bloomberg, you'll have the opportunity to go above and beyond and to take risks. You'll be a part of an organization that is entering new markets, launching new ventures, and pushing boundaries. Our ever-expanding array of technology, data, news, and media services fosters innovation and empowers clients -- and offers nearly limitless opportunities for career growth.
In the meantime, feel free to have a look at the below to give you an idea of how the quant work contributes to the overall Bloomberg offering:https://www.bloomberg.com/professional/expertise/quantitative-analyst/
*Please note we use years of experience as a guide but we certainly will consider applications from all candidates who are able to demonstrate the skills necessary for the role.
If this sounds like you:
Apply if you think we're a good match! We'll get in touch with you to let you know what the next steps are.
Bloomberg is an equal opportunity employer and we value diversity at our company. We do not discriminate on the basis of age, ancestry, color, gender identity or expression, genetic predisposition or carrier status, marital status, national or ethnic origin, race, religion or belief, sex, sexual orientation, sexual and other reproductive health decisions, parental or caring status, physical or mental disability, pregnancy or parental leave, protected veteran status, status as a victim of domestic violence, or any other classification protected by applicable law.
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