Purpose of Job

The Principal, Quantitative Analytic Modelling, is a specialist who performs a variety of highly technical tasks pertaining to the valuation 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.

Accountabilities & Responsibilities

The Principal, Quantitative Analysis, is expected to perform the following duties:

• Closely interact with Treasury portfolio managers and traders to analyse proposed new types of instruments/trades and recommend appropriate modelling and pricing methodology.
• 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 stand alone asset classes or as hybrids (e.g. long term IR+FX model).
• Develop, maintain and enhance the data access layer for structured instruments within the internal pricing library, depending on the trade booking system.
• Develop, maintain and enhance own developed applications used as decision making tools by the Treasury department, e.g. Funding/ALM reports, PnL explain
• Develop, maintain and enhance the internal pricing library for the pricing of vanilla/structured instruments in existing third-party trade booking systems, to produce and feed valuations to Front, Middle and Back Office.
• Provide an independent and technical opinion on all quantitative issues. This includes assessing internal and external pricing and risk management systems, upon request.
• 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

• Msc in finance or sciences
• Strong quantitative skills in financial modelling, including stochastic calculus, numerical methods and application of the options theory.
• 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…).
• Significant experience in another Financial Institution
• MSc in finance or sciences.
• Proficient in Excel, VBA, databases, SQL, Matlab, C++, SVN.
• Knowledge of Summit, QuiC and/or NumeriX.
• Ability to communicate well with all levels of the business community, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff.
• A methodical and practical approach to problem solving and troubleshooting.
• Able to work well within a small team and a multicultural environment.

What is it like to work at the 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 people’s lives and help shape the future of the regions we invest in.

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;
• An environment that places sustainability, equality and digital transformation at the heart of what we do.

Diversity is one of the Bank’s core values which are at the heart of everything it does. A diverse workforce with the right knowledge and skills enables connection with our clients, brings pioneering ideas, energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities, cultures and opinions and we aim to sustain and build on this strength. 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, sexual orientation or disabilities. As an inclusive employer, we promote flexible working and expecting our employee to attend the office 50% of their working time.