Purpose of Job
The Analyst, Quantitative Analyst, is a specialist who performs a variety of highly technical tasks pertaining to the valuation (including xVAs) and risk management of derivatives and complex financial products. This includes providing quantitative analysis as well as designing, implementing and maintaining pricing tools and libraries developed in C++.
Accountabilities & Responsibilities
The Analyst, Quantitative Analysis, is expected to perform the following duties
Assist when needed with the development of the in-house pricing library using C++, Python and SQL
Maintain and further develop the TAG-analytics Excel Addin(s)
Develop market data “feeding” infrastructure and other automation tasks
Help propose, design and implement pricing and analytical tools in a mathematically sound way. This includes the modelling of interest rates, foreign exchange, commodities, equities, credit and inflation, either as standalone asset classes or as hybrids (e.g. long term IR+FX model).
Assist developing, maintain and enhance own developed applications used as decision making tools by the Treasury department.
Develop, maintain and enhance pricing templates in existing third-party valuation systems for complex products to feed valuations to Front, Middle and Back Office.
Assist in providing an independent and technical opinion on all quantitative issues. This includes assessing internal and external pricing and risk management systems, upon request.
Closely interact with Treasury portfolio managers and traders to analyse proposed new types of instruments/trades and recommend appropriate modelling and pricing methodology. Be pro-active and keep up with the latest developments and techniques in the Quant world as well as IT technologies.
Knowledge, Skills, Experience & Qualifications
Degree in finance or sciences or equivalent experience
Strong quantitative skills in financial modelling, including stochastic calculus, numerical methods and application of the options theory.
Experience of working in another Financial Institution
Good understanding of financial instruments in general and in particular interest rates, foreign exchange, equity and credit derivatives.
Good understanding of risk management and portfolio valuation techniques (e.g. VaR, sensitivities, CVA/DVA, FVA).
Proficient in C++, Excel, VBA, databases, Json, SQL, Matlab, SVN.
QuiC and/or NumeriX, DLL and XLL development, QuantLib or other pricing libraries, scripting language
Excellent communication skills, fluent in English language with good presentation skills
Team player.
What is it like to work at the EBRD?
Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people’s lives and help shape the future of the regions we invest in.
The EBRD environment provides you with:
Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in;
A working culture that embraces inclusion and celebrates diversity;
An environment that places sustainability, equality and digital transformation at the heart of what we do
Diversity is one of the Bank’s core values which are at the heart of everything it does. A diverse workforce with the right knowledge and skills enables connection with our clients, brings pioneering ideas, energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities, cultures and opinions and we aim to sustain and build on this strength. As such, the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities. As an inclusive employer, we promote flexible working.
Job Segment: Quantitative Analyst, Risk Management, Sustainability, SQL, Database, Data, Finance, Energy, Technology
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