Quantitative Researcher

Quantitative Researcher focuses on maintain advanced fx risk models, leveraging cutting-edge quantitative techniques to assess.

What the role involves

• Maintain advanced FX risk models, leveraging cutting-edge quantitative techniques to assess.
• Manage FX risks (scenario modelling, stress testing, BAU risk metrics).
• Perform back-testing and calibration of models to ensure accuracy, robustness, and regulatory compliance.
• Develop bespoke models and analyses in preparation for market stress events and new product launches.
• Deliver insights on FX impacts on customer portfolios and products.
• Conduct in-depth quantitative analysis to support pricing strategies.

Skills and requirements

• Experience in interest rate and cashflow modelling, derivatives pricing (including exotic options), behavioural models.
• Real FX trading experience (especially with algorithms).
• Experience with building and maintaining backtesting engines and quantifying backtesting output using standard industry metrics ( Sharpe, Sortino).
• We believe teams are strongest when they are diverse, equitable and inclusive.

Confirmed role details

• Our FX team manages the risk on our GBP 105bn+ FX book and our GBP 15bn of customer assets.
• Partner with product and operational teams to translate complex FX risk scenarios into actionable insights for customer-focused solutions.
• Strong Python knowledge. Ability to read through code, especially Java. Demonstrable experience collaborating with engineers.
• Strong knowledge in at least a few of the following areas: statistics, machine learning, linear algebra, optimisation.

Additional role context

• We’ve got 13 million customers across the globe and we’re growing.
• Collaborate with engineering teams to implement models within the risk and trading platforms, ensuring scalability and operational efficiency.