GM Macro Flow Quant

About the role

The Global Market Quantitative team designs and develops models for pricing, risk management and relative value, and contributes to the pricing and risk management platform. This GM Macro Flow Quant role focuses on linear rates and FX products within the global quantitative research team, which has around 200 people across Europe, Asia and the Americas.

Key responsibilities

• Develop and implement pricing and risk management models that capture the specifics of Asian markets (onshore/offshore, discounting, curve marking)
• Contribute to the global flow pricing and risk management platform and library
• Take part in global quantitative research in FIRST – Global Macro Flow
• Develop innovative analytic approaches and new derivatives-related research tools
• Support trading desks and liaise with Legal, Compliance, Market and Credit Risk Management when needed
• Attend training to keep regulatory, product and technical skills up to date
• Maintain open communication with the team and line management to meet notification requirements and pass on client concerns
• Contribute directly to the BNPP operational permanent control framework

Required profile

• Graduate to 2 years of experience; a Master's or PhD in Engineering, Applied Mathematics or Mathematical Finance is an advantage
• Balanced profile combining market knowledge, programming skills and mathematics
• Good awareness of risk and fundamental risk concepts, and a good sense of risk/return analysis
• High ethical standards, teamwork and client focus

Required skills

• Applied mathematics and strong programming skills (C++, C#, Excel, Python)
• Some knowledge of quantitative finance: rate models, curve construction, risks and volatility
• Understanding of market, credit, operational, compliance, legal and reputational risks