CIB-Quantitative Research Job Description
CIB-Quantitative Research Duties & Responsibilities
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CIB-Quantitative Research Qualifications
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Education for CIB-Quantitative Research
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Employers hiring for the cib-quantitative research job most commonly would prefer for their future employee to have a relevant degree such as Master's and Bachelor's Degree in Engineering, Computer Science, Physics, Mathematics, Finance, Statistics, Math, Technical, Sciences, Science
Skills for CIB-Quantitative Research
Desired skills for cib-quantitative research include:
Desired experience for cib-quantitative research includes:
CIB-Quantitative Research Examples
CIB-Quantitative Research Job Description
- Explain pricing, risk and pnl predict to traders, controllers and technology team
- This position will require the candidate to work with other experienced modelers and business partners to enhance quantitative business skills
- Preferred experience in managing a team in the past
- Work with modeling teams to develop accurate prototype model implementations
- Work with production implementation team to validate implementation of model revisions
- Work with delivery team to continuously validate production implementation
- Develop valuation and risk management tools
- Provide support of Basel and CCAR PD modeling efforts
- Build risk analytics tools to monitor model performance and risk measures
- Work on allowance for loan and lease losses (ALLL) calculations and reporting, and participate in ALLL model development and implementation
- Strong object oriented design skills are required, most likely obtained using C++
- Familiarity with core Athena frameworks such as reactive, pixie, bob, hydra, reports, cbb, ATD
- The team manages thousands of indices that cover global markets primarily in the fixed income space
- The candidate would also work closely with both internal and external clients to educate them on structural and tactical changes in the index products and the associated implications for the relevant markets resulting from these changes
- Knowledge of quantitative risk modelling
- Applicants should have a good understanding of basic sorting and searching algorithm
CIB-Quantitative Research Job Description
- Numerical algorithms ( root finding, optimization )
- Deep understanding of statistical methodology and thinking
- Building PnL Attribution process for SPG products and hedges, integrating into official PnL System
- Studying various borrower behavior with machine learning and regression approaches
- Document model specifications and implementation testing
- Lead forward developments on trading optimization platforms employed by the Equity Finance business to manage SBL, Synthetic and Cash trading activities
- Model trading book dynamics, transaction costs potentially employing Statistical and Machine Learning techniques
- Experience of Linux system, Multi-process Programming
- Develop models and implement them in C++/Python for pricing and risk managing derivatives
- Develop an understanding of analytics flows, development flows and the various components that are used for the groups analytics
- A master’s or Ph.D
- Previous practical experience in solving machine learning problems using open-source packages (such as sklearn)
- Work as a key member of a team responsible for establishing new practices for model risk management
- Knowledge of financial maths and maths modeling
- Affinity with model validation or model governance
- Python or C++ software development with emphasis on numerical methods
CIB-Quantitative Research Job Description
- Work on business analysis and product definition and produce documentation as needed
- Help work on developing and planning the teams roadmap and strategy
- Develop end to end plans with the team and help coordinate on those plans with QR’s project management team
- Help execute on projects, getting involved with technical details of the project alongside the team
- Credit risk and/or economical Capital experience
- Econometrics and macro economical risk factors
- Development, deployment and support of algorithms for automated and semi-automated quoting and trading of corporate bonds in our in-house system
- Applying machine learning and statistical analysis to market movements and trade data
- Working with the trading desk to ensure optimal usage of automated strategies and analytical tools
- Communicate effectively with business
- Knowledge of Wholesale Credit Traditional Credit Products, CCAR, Allowance (IFRS 9/CECL), Basel II/III regulatory capital
- PhD or Master’s degree or equivalent from top tier schools/programs in Mathematics, Mathematical Finance, Computer Science, Physics, or Engineering
- Experience in model validation and understanding of model risk
- Experience in handling large amount of panel data, and data cleaning/filtering
- Hands on programming in Python and R
- Prior experience in wholesale credit is strongly preferred
CIB-Quantitative Research Job Description
- Research, back-testing and reporting on portfolio hedging strategies and ongoing improvements to related infrastructure
- Carrying out market microstructure research and writing white papers
- Technology Refresh, Server Migration and readiness - setting up environment, jobs scheduling, testing & monitoring, firewall rules, users access, software, FIDs, NAS
- Complete compliance breaks, certifications, cyber security issues about the application and infrastructure
- Develop enhancements and fixes in coordination with global quant team
- Maintain and manage application and infrastructure availability with resiliency discipline
- Work on designing, implementing, testing, releasing and supporting the groups analytics library
- Work on the design and implementation of the firm’s next generation stress and risk analytics platform for Wholesale Credit alongside Technology and the Business
- Supporting the existing warrants/option market making business
- Developing option market making, hedging algorithms and associated post-trade analysis
- Previous experience in writing documents for regulatory reviews
- 1-2 years of relevant experience (associate)
- PhD, MS or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Statistics, Physics, Computer Science, or Engineering
- Knowledge and work experience in Rates financial products
- Knowledge and work experience in advanced yield curves construction techniques and methods a plus
- Must have knowledge of database languages (MS SQL/Oracle) and proficiency in programming languages used for analysis and presentation – for example, Visual Basic, Matlab, R, Python that are used to create and analyze quantitative investment strategies
CIB-Quantitative Research Job Description
- Alpha research and strategy back-testing
- Supporting the trading desks on Value at Risk Models and Flex option/Rates hedging problems
- Work closely with the central risk trading desk to build analytics and processes that optimize trading quantitatively
- The successful candidate will work on the design and implementation state of the art forecast and valuation models in Wholesale Credit
- Explain the results to the lines of business and resolve issues based on business feedback in a timely fashion
- Development, deployment and support of pre-trade analytics in C++ and Python libraries
- End-to-end delivery of real time analytics in our in-house system, Athena
- Research, back-testing and reporting frameworks for market-making and quoting strategies
- Working with the Trading Desk to ensure optimal usage of quoting strategies and analytical tools, to identify and develop business intelligence tools
- Development, deployment and support of production code for both derivative-pricing and market-making models in our in-house systems
- Must know data processing methodologies for signal building and strategy testing
- Must have relevant technical skill and experience to build and customize existing infrastructure for new quantitative models
- Financial markets experience (sell-side, buy-side or investment banking/M&A) preferred, with knowledge of how financial markets work
- Preferred qualifications CFA/FRM
- Building out the Model Reporting framework with new capabilities for calculating and viewing a variety of model risk metrics
- Knowledge of financial derivatives and options theory