Analyst, Quantitative Analysis

Overview

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.

• 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 IR+FX 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

• 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 Quant Lib; knowledge of VBA, SQL, JSON, SVN/GIT is a plus.
• Excellent communication skills, fluent in English language with good presentation skills
• Team player.

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.

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…