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SCIB Associate / VP, Quant

Santander Bank, City of Westminster

SCIB Associate / VP, Quant

Salary Not Specified

Santander Bank, City of Westminster

  • Full time
  • Permanent
  • Onsite working

Posted 1 week ago, 13 Dec | Get your application in now before you miss out!

Closing date: Closing date not specified

job Ref: ea196039bf3b41b68876ab89a576e244

Full Job Description

  • Contribute to the design, implementation and maintenance of the bond library implemented in C++ and python.
  • Extend further the bonds analytics to do RV analytics, z-score, correlations, carry and roll down, historical analysis, hedging strategies
  • Development of an efficient risk framework to represent the risks properly making usage of advance techniques (e.g. AD)
  • Design and extension of the APIs for our pricing and curves libraries.
  • Development and optimization of algorithms.
  • Refine existing quants framework and quantitative tools to meet highest quality standards.
  • Development, improvement, and maintenance of the testing process in our quantitative. libraries and tools.
  • Provide mathematical and technical documentation to internal stakeholders.
  • Keep up to date with mathematical and tech.
  • Support to Trading, Sales and Risk areas.

    Experience developing analytics for the bonds market
  • Good Knowledge of fixed income products and valuation.
  • Higher qualification in Computer Science, Engineering, Mathematics, Physics or relevant mathematical based degree
  • Experience in curves construction and Adjoint risk or alternative techniques desirable
  • Good programming skills C++ and Python.
  • Good programming skills in Rust desirable
  • Basic knowledge of options pricing theory, quantitative models, probability theory and stochastic processes.
  • Creative thinker, independently worker and capable to make decisions quickly, often under pressure and with limited information.
  • An excellent problem solver who can contribute with innovative ideas.
  • Strong interpersonal skills and a desire to work in a team environment are critical.

    As well as a competitive salary, you'll enjoy a benefits package that you can tailor to your needs.
  • Eligible for a discretionary performance-related annual bonus
  • Pension with generous contributions of up to 12.5% from Santander, depending on your own contribution and length of employment with us
  • 30 days holiday plus bank holidays, with the option to purchase up to 5 contractual days per year
  • Company funded individual private medical insurance
  • Voluntary healthcare benefits at discounted rates such as private medical insurance for your family, dental insurance, healthcare cash plan and health assessments
  • Benefits supporting you and your family, such as death-in-service benefit, income protection, and voluntary life assurance and critical illness cover
  • Share in Santander's success by investing in our Sharesave and Partnership shares plans

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