Fixed Income Financing Quant VP - Morgan McKinley

Reporting to the Head of Financing Quants and working under close supervision.
Overall
The main responsibilities of the role are to:
Maintain and enhance pricing analytics, co-ordinate and share knowledge with quants in other
locations, improve interfaces, optimise 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 Incomed 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

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

Experience, Qualifications & Competencies
EXPERIENCE
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