Analyst, Quantitative Analyst

Job Posting Organization:
The European Bank for Reconstruction and Development (EBRD) is a pioneering international organization established to support the development of market economies and promote private and entrepreneurial initiatives in countries across Europe, Asia, and beyond. Founded in 1991, the EBRD has grown to employ thousands of professionals and operates in over 30 countries. The bank's mission is to foster the transition to open and sustainable market economies, and it does so by investing in projects that create jobs, promote sustainable development, and enhance the quality of life in the regions it serves. The EBRD is known for its commitment to inclusiveness, innovation, trust, and responsibility, which are reflected in its workplace culture and values.

Job Overview:
The Analyst, Quantitative Analyst position is a highly specialized role focused on the valuation and risk management of derivatives and complex financial products. The successful candidate will be responsible for conducting quantitative analysis and developing pricing tools and libraries primarily using C++. This role is situated within the Treasury Quantitative Analytics Group (TAG), which is tasked with meeting all quantitative requirements of the Treasury department. The TAG is integral to the design, validation, implementation, and maintenance of pricing models for various derivative and structured products, as well as portfolio management and risk management tools. The Analyst will collaborate closely with other departments, including Risk Management, Accounting, and Banking, to ensure comprehensive support for the bank's financial operations.

Duties and Responsibilities:
The Analyst, Quantitative Analysis will be expected to perform a variety of duties, including but not limited to: assisting in the development of the in-house pricing library using programming languages such as C++, Python, and SQL; maintaining and enhancing the TAG-analytics Excel Addin(s); developing and maintaining the Phoenix Django web reporting framework; creating market data feeding infrastructure and automating various tasks; proposing, designing, and implementing pricing and analytical tools in a mathematically sound manner; modeling various asset classes including interest rates, foreign exchange, commodities, equities, credit, and inflation; developing and enhancing applications used by the Treasury department for decision-making; maintaining pricing templates in third-party valuation systems; providing independent technical opinions on quantitative issues; and interacting closely with Treasury portfolio managers and traders to analyze new instruments and trades, recommending appropriate modeling and pricing methodologies.

Required Qualifications:
Candidates must possess an advanced degree in a quantitative field such as mathematics, statistics, physics, or engineering, or an equivalent qualification. Strong quantitative skills in financial modeling are essential, including knowledge of stochastic calculus, numerical methods, and options theory. Candidates should have experience working in a financial institution and a solid understanding of financial instruments, particularly in the areas of interest rates, foreign exchange, equity, and credit derivatives. A good grasp of risk management and portfolio valuation techniques, such as Value at Risk (VaR), sensitivities, and Credit Valuation Adjustment (CVA) is also required. Proficiency in C++ and Python is mandatory, along with experience in DLL/XLL development and familiarity with QuantLib. Knowledge of VBA, SQL, JSON, and version control systems like SVN/GIT is considered a plus. Excellent communication skills and fluency in English are necessary, as well as the ability to work effectively in a team environment.

Educational Background:
The educational background required for this position includes an advanced degree in a quantitative discipline such as mathematics, statistics, physics, or engineering. This educational foundation is critical for understanding complex financial models and performing the quantitative analyses necessary for the role.

Experience:
The position requires candidates to have prior experience working in a financial institution, which provides them with the necessary context and understanding of financial markets and instruments. This experience is crucial for effectively performing the duties associated with the role and for collaborating with other departments within the bank.

Languages:
Fluency in English is mandatory for this position, as effective communication is essential for collaboration and presentation of analyses. While not explicitly stated, proficiency in additional languages may be beneficial in a diverse international organization like the EBRD, where interactions with various stakeholders may occur.

Additional Notes:
This position is a full-time role with a fixed-term contract lasting for two years. The EBRD promotes a hybrid workplace model that emphasizes flexibility and trust, allowing employees to balance their work and personal lives effectively. The bank is committed to diversity and inclusion, encouraging applications from all qualified candidates regardless of their background. Additionally, the EBRD offers a comprehensive suite of competitive benefits to its employees, prioritizing their wellbeing and professional development.