Flow Rates Quant Engineer

Keywords:
engineering, mathematics, quantitative research, quants, programming, finance, modelling, models, curve stripping, risk, valuation, interest rates, derivatives, OTC, stochastic calculus

About The Job
This role operates under direction from line manager to support the Financing and Collateral area.

This role focuses on the global management, development, delivery, maintenance and support of Research's cross-asset analytics software libraries:

• Development and implementation of quantitative methodologies to be used for market risk measurement
• Development and adaptation of existing methodologies in order to be used to measure capital add-ons associated to non-modellable risk factors and standard calculations
• Maintain, co-ordinate and enhance development environment, communication, tests and best practices
• Design of innovative analytic/implementation approaches, system architecture, code optimisation, interfaces, etc. <...