Analyst, Quantitative Analysis

Purpose of Job
The Analyst Quantitative Analyst is a specialist who performs a variety of highly technical tasks pertaining to the valuation (including xVAs) and risk management of derivatives and complex financial products. This includes providing quantitative analysis as well as designing implementing and maintaining pricing tools and libraries developed in C.

Background
The Treasury Quantitative Analytics Group (TAG) is responsible for all quantitative requirements of Treasury. These requirements include the design validation implementation and maintenance of pricing models for various types of derivative and structured products portfolio management tools (including xVA) and risk management tools.
TAG works closely with other departments within the Bank including Risk Management Accounting and Banking.

Accountabilities & Responsibilities
The Analyst Quantitative Analysis is expected to perform the following duties:

Assist when needed with the development of the in-house pricing library using C Python and SQL
Maintain and further develop the TAG-analytics Excel Addin(s)
Maintain and further develop Phoenix our Django web reporting framework
Develop market data feeding infrastructure and other automation tasks
Help propose design and implement pricing and analytical tools in a mathematically sound way. This includes the modelling of interest rates foreign exchange commodities equities credit and inflation either as standalone asset classes or as hybrids (e.g. long term IRFX model).
Assist developing maintain and enhance own developed applications used as decision making tools by the Treasury department.
Develop maintain and enhance pricing templates in existing third-party valuation systems for complex products to feed valuations to Front Middle and Back Office.
Assist in providing an independent and technical opinion on all quantitative issues. This includes assessing internal and external pricing and risk management systems upon request.
Closely interact with Treasury portfolio managers and traders to analyse proposed new types of instruments/trades and recommend appropriate modelling and pricing methodology. Be pro-active and keep up with the latest developments and techniques in the Quant world as well as IT technologies

Knowledge Skills Experience & Qualifications
Advanced degree in a quantitative field such as mathematics statistics physics or engineering or equivalent.
Strong quantitative skills in financial modelling including stochastic calculus numerical methods and application of the options theory.
Experience of working in another Financial Institution
Good understanding of financial instruments in general and in particular interest rates foreign exchange equity and credit derivatives.
Good understanding of risk management and portfolio valuation techniques (e.g. VaR sensitivities CVA/DVA FVA).
Proficient in C and Python DLL/XLL development and QuantLib; knowledge of VBA SQL JSON SVN/GIT is a plus.
Excellent communication skills fluent in English language with good presentation skills
Team player.

What is it like to work at the EBRD / About EBRD

Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation and use your talents to make a real difference to peoples lives and help shape the future of the regions we invest in.

At EBRD our Values Inclusiveness Innovation Trust and Responsibility are at the heart of how we work. We bring these to life through our Workplace Behaviours: listening well and speaking up collaborating smartly acting decisively with full commitment and simplifying to amplify our impact. These principles shape our culture and define our success. We seek individuals who not only share these values but are also committed to embedding them in their daily work fostering a positive and high-performing environment.

The EBRD environment provides you with:

• Varied stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial political public and private sectors across the regions we invest in.
• A working culture that embraces inclusion and celebrates diversity. Our workforce reflects a broad range of backgrounds perspectives and experiences bringing fresh ideas energy and innovation and enhancing our ability to serve our clients shareholders and counterparties effectively.
• A hybrid workplace that offers flexibility to teams and individuals; that is based on trust flexibility and connectedness.
• An environment that places sustainability equality and digital transformation at the heart of what we do.
• A workplace that prioritises employee wellbeing and provides a comprehensive suite of competitive benefits.

Diversity is one of the Banks core values which are at the heart of everything it does. As such the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial ethnic religious and cultural background gender gender identity sexual orientation age socio-economic background or disability.

Please note that due to the high volume of applications received we regret to inform you that we are unable to provide detailed feedback to candidates who have not been shortlisted (for further consideration).