CIO Strategy - Quantitative Analyst
Canary Wharf, 1 Churchill Place, United Kingdom
GBP 57K-70K (estimate) Senior-level Full Time
Tasks
- Analyze forward CET1 impact
- Build strategy and market timing models
- Conduct portfolio sensitivity and scenario analysis
- Create live risk and PV views
- Create total return analysis and decomposition
- Decompose PV OCI components
- Design quantitative models for business decision making
- Develop portfolio construction and optimisation models
- Develop tail hedging tools and hedge packages
- Forecast carry and OCI components
- Maintain trade level data and reporting
- Operationalize models in stable well tested software
- Perform risk volatility correlation analysis
- Provide ongoing support for models and analytics
- Run Monte-Carlo simulations
Perks/Benefits
- N/A
Skills/Tech-stack
Algorithms | Correlation Analysis | Data Structures | Derivatives | Duration analysis | Fixed Income | Invoice spreads | Machine Learning | Matplotlib | Momentum | Monte Carlo | Monte Carlo Simulation | NumPy | Object-Oriented | Object-oriented programming | Optimization | Portfolio Theory | Python | Rates | Regime Analysis | Risk Management | Scenario Analysis | SciPy | Scikit-learn | Seaborn | Seasonality | Series analysis | Statistical Analysis | Swaption | Tail hedging | Time Series | Time Series Analysis | Volatility analysis
Education
Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
Roles
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