Quantitative Research FO – Credit Products recruitment

Role Details

  1. Rebuild real time risk and PL system in a more stable, robust, scalable and, more importantly, shared fashion. Sharing will be within trading. Shared information could also be accessed by risk at their convenience.
  2. Combine all this tools with both static and dynamic databases. These databases will withhold the following information:
    1. Definition of corporate entities
    2. Clean and up to date balance sheet information
    3. Clean and up to date corporate cash debt information (incl. ref obs)
    4. Credit derivative layer
    5. Clean and up to date information about ratings
  3. Scenario analysis.
  4. Risk drill down abilities.
    1. Possibility to move from index based risk to sector/single name risk at will
    2. Granularity for any scenario analysis
  5. Connexion with front via dedicated libraries provided by Front team (no direct access to Front database)
  6. Some tools are already in use but need to be perfected
  7. Credit volatility tools
  8. Short term volatility info extracted from options
  9. Mid to long term volatility info extracted from tranches
  10. Bucketing for risk and scenario analysis (incl. deliverable)
  11. Long-short, ratio tracking and relative value reports
  12. International comparison reports (Spread per Unit of Leverage, balance sheet…)

Requirements

  1. Database
  2. Language = Python or .Net
  3. No credit expertise required
  4. The candidate should have a background in either financial mathematics and/or computer science.
  5. Strong knowledge of databases, excel and deep familiarity with credit derivative products.
  6. Programming skills a plus.
  7. Relevant work experience in a Front Office quant position

If you feel you have the suitable skills for this role or want to find out more, please apply online or contact Deepan Sakthithasan at Hudson Credit Risk on 02071876103 or deepan.sakthithasan@hudson.com.

Please also not due to the high volume of applicants I may not be able to get back to every application. If you do not hear from myself within a week of applying this means your application does not meet the client’s requirements and therefore is unsuccessful.