Quantitative Analyst

To transform the quantitative analytic libraries and its associated tools (eg. front office pricers) into cutting edge applications.

• Providing quantitative support to the Front Office Rates Business and other related functions within the firm
• Adding support and extension to the Interest Rate Curve library
• In this role, you will be working across MUFG's banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.
  
  Development coding skills in both C++ and C#, used in the context of a large library
• High quality documentation
• Experience in code refactoring
• Experience in model performance testing
• Expertise in Excel as used for pricing tools (used in the context of live pricing)
• Understanding of interest rates Market Data
• Deep understanding of sensitivities and P&L attribution for interest rates products
Work Experience:
• Experience (5y+) as a modelling quant (curve bootstrapping / volatility modelling)
• Experience (3y+) as a front office support quant (desk support, Excel spreadsheet support), Experience in curve bootstrapping (systems solving, AAD) in the context of a high-speed coding library
• Experience in instrument pricing in the context of curve construction (turns / forward curves / curve hierarchies)
• Expertise in flow rates products valuation (swaps, bonds, futures, future options, non-standard IR products)
• Expertise in volatility products valuation (cap/floors, swaptions, convexity adjustments)
• Very good knowledge of financial products (other than interest rates)
• Contribution to production code used for valuation, model validation or risk engine
  
  Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 7th largest financial group in the world. Across the globe, we're 120,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.
With a vision to be the world's most trusted financial group, it's part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. This means investing in talent, technologies, and tools that empower you to own your career. Join MUFG, where being inspired is expected and making a meaningful impact is rewarded., Please note MUFG operate a hybrid working policy with 3 days in the office, Ropemaker Place, London. We are open to considering flexible working requests in line with organisational requirements. MUFG is committed to embracing diversity and building an inclusive culture where all employees are valued, respected and their opinions count. We support the principles of equality, diversity and inclusion in recruitment and employment, and oppose all forms of discrimination on the grounds of age, sex, gender, sexual orientation, disability, pregnancy and maternity, race, gender reassignment, religion or belief and marriage or civil partnership. We make our recruitment decisions in a non-discriminatory manner in accordance with our commitment to identifying the right skills for the right role and our obligations under the law. At MUFG, our colleagues are our greatest assets. Our Culture Principles provide a roadmap for how each of our colleagues must think and act to become more client-obsessed, inclusive and innovative. They reflect who we are, who we want to be and what we expect from one another. We are excited to see you take the next step in exploring a career with us and encourage you to spend more time reviewing them! Our Culture Principles
• Client Centric
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• Innovate & Simplify
• Own & Execute