AVP Quantitative Engineer

About the Role

This role offers a strong entry point into quantitative finance for motivated recent graduates or final-year students with a solid quantitative and programming background. You will support the Fundamental Review of the Trading Book (FRTB) implementation and analytics for Exotics desks, collaborating with senior quants, traders, market risk managers, and technology partners.

Key Responsibilities

• Library Development: Build and maintain C++ libraries for exotics pricing, risk, and regulatory calculations.
• FRTB Delivery: Contribute to modelling and implementing FRTB frameworks (SA, IMA, NMRF, DRC) for exotic products.
• Numerical Methods: Implement and benchmark techniques such as Monte Carlo, PDE solvers, trees/lattices, and sensitivities/AAD.
• Collaboration: Partner with traders, structurers, risk quants, and technology to integrate models and deploy them into production.
• Quality & Documentation: Write unit tests, regression suites, performance benchmarks, and clear technical documentation.

Requirements & Tech Stack

• Programming: Comfortable coding in C++ and/or Python. A genuine interest in high-performance C++ is valued.
• Tools: Exposure to Python (NumPy, SciPy, Pandas), Git, Linux, and build systems like CMake is a plus.
• Numerical Skills: Hands-on experience implementing numerical algorithms, linear algebra, or simulations (from coursework, projects, or internships).
• Mathematics: Good grounding in probability, statistics, stochastic calculus, linear algebra, and numerical analysis.
• Finance (nice to have): Interest in or academic exposure to derivative pricing and market-risk concepts (FRTB, VaR, Expected Shortfall, Greeks).

Qualifications

• PhD preferred in a STEM discipline, including but not limited to Mathematics, Statistics, Physics, Computer Science, Data Science, Machine Learning, Artificial Intelligence, Operations Research, Quantitative Finance, Econometrics, Engineering, or a related quantitative field.
• Master’s degree required as the minimum qualification in one of the above STEM disciplines.

Candidate Profile

• Analytical and detail-oriented, with a strong problem-solving mindset.
• Curious and eager to learn complex products and regulation.
• A clear communicator who can explain quantitative ideas simply.
• A collaborative team player who enjoys a fast-paced, global environment.