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.

Roles as Experienced Senior Consultants and Principal Consultants

We are looking for smart, dynamic, and flexible people to help us deliver for our clients. We specialise in the quantitative analysis of cash and derivative products in fixed- income, equity and commodity asset classes, from standard products to highly structured variants.

You will work with the best people, use the most up to date technologies, solve the most challenging customer problems.


Ideal Candidate

Quantitative skills

• An excellent degree in Mathematics, Physics, Computer Science, Engineering, Economics with a quantitative specialization, or a similar discipline;

Development Experience

• Demonstrate good knowledge in C++
• In addition, knowledge of QuantLib, C#, Matlab, VBA and SQL would be
useful
• Use of source control, e.g. GitHub

Finance knowledge

• Understanding of
• Pricing methods
• Monte Carlo methods for risk and xVA

Personal skills

• Ability to mature into a principal consultant, leading a project and dealing with clients
• Proven delivery capability
• Strong communication skills: verbal and written
• Ability and willingness to work both independently and as part of a distributed
international team
• Willingness to travel and work in Ireland, Germany and the US

Years’ experience

• 2 years – 5 years+


Quaternion supports clients in trading, risk management and finance functions.

We specialise in the quantitative analysis of cash and derivative products in fixed- income, equity and commodity asset classes, from standard products to highly structured variants. Our services encompass:

• The quantitative analysis of financial contracts,
• The development and validation of models and methods for pricing, P&L and
performance measurement,
• Market, liquidity and credit risk analysis and, finally,
• Integrated market and credit risk measurement for the purpose of analysing
an institution’s risk bearing capacity.

Special expertise

These services range from the analysis of single products or positions to independent portfolio valuation and risk analysis, and from validation and development of methods to their concrete application to an entire book of business. We have special expertise in the areas of:

• CVA/DVA/FVA and integration with OTC clearing
• Initial Margin and dynamic initial margin
• Multicurve pricing, OIS discounting
• Back testing methodologies and implementation
• Stress testing
• Model calibration
• Model validation

Location

We are currently looking to grow the team in London, but we are always on the lookout for talented individuals for our offices in Dublin, Germany and the US.


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

Graduate and Junior Mathematics, Physics and Computer Science Candidates

We are looking for smart, dynamic, and flexible people to help us deliver for our clients. We specialise in the quantitative analysis of cash and derivative products in fixed- income, equity and commodity asset classes, from standard products to highly structured variants.

You will work with the best people, use the most up to date technologies, solve the most challenging customer problems.


Ideal Candidate

Quantitative skills

• An excellent degree in Mathematics, Physics, Computer Science, Engineering, Economics with a quantitative specialization, or a similar discipline;

Development Experience

• Demonstrate good knowledge in C++
• In addition, knowledge of QuantLib, C#, Matlab, VBA and SQL would be
useful
• Use of source control, e.g. GitHub

Finance knowledge

• Understanding of
o Pricing methods
o Monte Carlo methods for risk and xVA

Personal skills

• Ability to mature into a principal consultant, leading a project and dealing with clients
• Proven delivery capability
• Strong communication skills: verbal and written
• Ability and willingness to work both independently and as part of a distributed
international team
• Willingness to travel and work in Ireland, Germany and the US

Years’ experience

• Graduate – 2 years


Quaternion supports clients in trading, risk management and finance functions.

We specialise in the quantitative analysis of cash and derivative products in fixed- income, equity and commodity asset classes, from standard products to highly structured variants. Our services encompass:

• The quantitative analysis of financial contracts,
• The development and validation of models and methods for pricing, P&L and
performance measurement,
• Market, liquidity and credit risk analysis and, finally,
• Integrated market and credit risk measurement for the purpose of analysing
an institution’s risk bearing capacity.

Special expertise

These services range from the analysis of single products or positions to independent portfolio valuation and risk analysis, and from validation and development of methods to their concrete application to an entire book of business. We have special expertise in the areas of:

• CVA/DVA/FVA and integration with OTC clearing
• Initial Margin and dynamic initial margin
• Multicurve pricing, OIS discounting
• Back testing methodologies and implementation
• Stress testing
• Model calibration
• Model validation

Location

We are currently looking to grow the team in London, but we are always on the lookout for talented individuals for our offices in Dublin, Germany and the US.


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