IED, Strats – Derivatives research, Associate/Vice President
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The derivatives research strat team based in Paris conducts research on derivative products and problematics surrounding their risk management and P&L at large. This covers a wide range of studies on exotic products convexities and risk profiles, model dynamics and calibration, market data analysis, hedging strategies and PnL analysis, and risk management optimization. The team works very closely with trading management and the quant teams globally in order to deliver guidelines and solutions to optimally price and risk manage exotics and more general derivatives businesses. Many of the problematics arising are at the frontier of the industry knowledge and give opportunities to produce original and impactful research.
The person joining the team will be able to take part in these various projects. The day-to-day responsibilities will vary according to the problematic being studied, but can include literature reviews, market data and portfolio data analysis, mathematical formulation of the proposed model or solution, numerical testing and prototyping in Python, working with IT and strats to implement strategic solutions, etc. Rigor and continued scientific questioning are key in having a successful contribution or to the minimum quantifying the uncertainty surrounding the produced results.Qualifications
- An advanced degree, or equivalent, in a quantitative subject such as Engineering, Applied Mathematics, Physics, Software Engineering
- Experience in the financial industry (quant or derivatives trader)
- Strong knowledge of equity derivatives pricing and risk management
- Strong programming skills (Python and/or Java and/or C++)
- Good knowledge of Statistics/Econometrics/Data Science in the context of financial data analysis
- Drive and desire to work in an intense team-oriented environment
- Ability to communicate effectively in both written and verbal English
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