Quant Analyst - Bond Derivatives
Posted Feb 14, 2023 - Requisition No. 102546
Bloomberg’s Quantitative Analytics team is responsible for the design and implementation of modeling 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 bond asset class analytics:
- Refactor and enhance bond and bond derivatives pricing models.
- Drive the design and expansion of our Greeks framework for bond curves and bond derivatives.
- Develop and extend public APIs tailored for bond sensitivity calculations.
- Consolidate bond analytics workflows into the C++ quant libraries to augment system performance.
- Write efficient, clean, and well-tested C++ code.
- Translate intricate business requirements into detailed mathematical models that are algorithm-friendly.
- Manage workflows and requirements stemming from sell- and buy-side clients, catering to both trading and regulatory mandates.
- Regularly update and provide mathematical and technical documentation to partners and clients.
- Stay abreast of mathematical, technical, and regulatory innovations within the financial sector.
- Collaborate closely with internal quants, developers, and business stakeholders to streamline design and modeling processes.
- Integrate quant code into IT systems in association with the Engineering department.
- Discuss functionalities and tests with Model Validation for production release.
You'll need to have:
- A Masters or PhD from a top-tier university in a quantitative field such as Mathematics, Physics, -Engineering, or Quantitative Finance.
- Substantial experience (VP level or above) in a premier buy or sell-side institution with a focus on developing, implementing, and delivering bond derivative pricing analytics (Essential).
- Proficiency in C++ software design and implementation. Knowledge of Python is advantageous but not mandatory.
- Strong communication skills, with an emphasis on productive and positive collaborations.
We'd Love to see:
- Hands-on experience with bond derivative products and curves construction.
- CQF qualification is an added advantage.
If this sounds like you, please apply!
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