Market Data Analyst

About Us

Quaternion supports clients in trading, risk management and finance functions. We specialise in the quantitative analysis of derivative products in money markets, equity and commodity asset classes, from vanilla products to highly structured variants using our open-source software (see www.opensourcerisk.org). Our expertise encompasses:

  • The quantitative analysis of financial contracts
  • The development and validation of models and methods for pricing, P&L
  • Market, liquidity and credit risk analysis
  • IM calculation & backtesting

About the Job

The successful applicant will be responsible for the expansion of the market data coverage for our market risk calculation service. The market data team supports the daily risk calculation of client portfolios for the calculation of ISDA SIMM across all asset classes and regions. We identify gaps, research data availability, expand our coverage, and monitor data quality. As such we are regularly exposed to new market data objects, new trade types and new markets. E.g. key focuses over the coming year will be IBOR replacement and integration of structured finance (ABX) data.

Responsibilities

  • Research of new curves and surfaces in all asset classes and regions
  • Integration of new market data into the existing framework
  • Liaise with development for identification of new market data requirements
  • Automation of monitoring and reporting processes (Python, Jenkins)
  • Engage with partners for specification and integration of new market data sources

Technical skills

  • Cross-asset general knowledge
  • Understanding of risk-neutral pricing techniques in at least 3 asset classes from interest rates, FX, equity, credit, commodities, fixed income
  • Familiarity with a major market data provider (in particular Refinitiv or Bloomberg)
  • Python scripting (pandas, numpy, jupyter, matplotlib, xml libraries)
  • Excel proficiency
  • C++

Personal skills

The ideal candidate will be an analytical problem solver, curious about financial markets and quantitative finance, and show an ability to work autonomously and as part of the team.

Qualifications

  • Masters in quantitative discipline with at least 2 years in industry,
  • or Bachelors with 3-4 years in industry

If you are interested in working with us, please contact us with your CV.