QR Global Clearing team is within Equity Quantitative Research and part of the global Quantitative Research Group. Our mission is to provide quantitative expertise and contribute to delivering a wide product offering to our clients. We develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure to help the Clearing business. We leverage JP Morgan Athena quant platform to provide pre/post trade and risk management capabilities for FnO/OTC derivatives across all asset classes. We also develop our own analytics and mathematical models that add value to the business and/or help promote advanced electronic solutions to our clients worldwide. We work closely with our Technology and business partners to deliver our solutions in production. 

Job Summary:

As a Global Clearing Associate within the Quantitative Research Group, you will be mainly contributing to the FnO and OTC derivatives risk and margin agenda for QR Global Clearing. Additionally, you’ll contribute to the strategic agenda to transform our investment bank into a data-led business and encourage change using state-of-the-art machine learning techniques.

Job Responsibilities:

Develop/improve mathematical models for pricing and risk/margin measurement for multi-asset FnO/OTC derivatives. Support intraday and EOD pricing, risk/margin and PnL calculation. Support the desk and provide portfolio risk management solutions by explaining model behavior, identifying major sources of risk in portfolios, carrying out scenario analyses, developing and delivering quantitative tools. Develop and deliver analytics that help transforming the business and contributing to the automation agenda. Partner with Technology and Prod Dev to deliver QR analytics to the business. Drive projects end-to-end, from brainstorming and prototyping to production delivery.  Develop and deliver ML/AI models and end-to-end solutions. Contribute to EOD or intraday hedging activities and algo design. 

Required qualifications, capabilities, and skills:

Advanced degree (PhD, MSc or equivalent) in Mathematics, Physics or Computer Science. You have knowledge of the FnO/OTC derivatives products and good understanding of risk/PnL and Margin methodology and demonstrate quantitative and problem-solving skills. You have strong coding skills (Primarily Python or C++), proficiency in code design and can navigate large libraries and quickly debug complex logics. You have a previous experience in a trading desk support position either as a quant or a developer. You have excellent communication skills, both verbal and written, can engage and influence partners and business/non-Tech stakeholders and enthusiastic about knowledge sharing and collaboration. You are detail-oriented and can work on adhoc requests and can sometimes work under pressure.

Preferred qualifications, capabilities, and skills:

Knowledge of curve building, volatility surface calibrations, etc Knowledge of market risk, time-series analysis, VaR and Stress Knowledge of ML algorithms and experience in delivering AI models / end-to-end solutions Knowledge of Optimization and hedging algorithms