SCIB Associate/VP, Quant

SCIB Associate/VP, Quant

Country: United Kingdom

Business area introduction

The Front office Quant area is in charge of the development of the pricing and risk models, as well as the pricing tools for Sales and trading teams. As part of the “Linear Rates, Inflation and Pricing tools” the focus of this position will be on the development of the pricing libraries for interest rates linear models including bonds and risk analytics.

Key activities

• 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.

What we’re looking for

• 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.

What else you need to know

This role is based in our Triton Square office in London, conveniently located within walking distance from Euston Station and Warren Street Station.

How we’ll reward you

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

For more information about our wide range of benefits and family friendly policies visit our website.

Equal Opportunities

Santander are an equal opportunities employer. When we talk about diversity, we don’t just want to pay lip service. Our customers come from a wide range of backgrounds, and so do our people. It’s important to us that we create an inclusive culture where everyone counts, and we particularly welcome applications from different underrepresented groups.

For more information on our commitment to equal opportunities, please visit our diversity page.

What to do next

If this sounds like a role you’re interested in, then please apply on the link.

Due to high volume of applications we may need to close this role earlier than the advertised date, so recommend submitting an application as soon as possible.