Current Opportunity

Senior Quant Consultant

Job Description

The successful applicant will be a member of the Expert Service unit of Acadia’s Quantitative Services division. The Expert Service unit is a team of renowned, highly experienced consultants that provides tailored quantitative consulting projects for international financial institutions. Our client base ranges from globally operating top tier Banks and Asset managers to smaller, highly specialized financial institutions.

We deliver consulting projects in all areas of derivative analytics e.g.:

  • Development and implementation of derivative valuation systems, across all asset classes (mainly based on ORE, the Open Source Risk Engine, opensourcerisk.org and QuantLib (quantlib.org))
  • Tailored upgrades of our client’s proprietary risk and validation libraries and systems
  • Validation of FO pricing and risk models for e.g. Counterparty Credit Risk IMM, Market Risk IMA, Initial Margin Models (ISDA SIMM), Structured Credit valuation and risk models, third party/vendor systems, etc.
  • Risk model development in Counterparty Credit Risk, Market Risk, Initial Margin calculation, integrated portfolio risk, etc.
  • Current topics such as Ibor Replacement or CSA valuation

We also support our clients during regulatory audits and in model approval or remediation processes. Much of our analytical and implementation work is based on or supported by the Open Source Risk Engine (ORE) (opensourcerisk.org) a C++ based risk and valuation platform.The applicant will be part of a global consultant team with offices in UK, Ireland Germany and the US.

Responsibilities and Duties

  • Manage individual work streams of larger client projects in quantitative finance or small client projects independently.
  • Contribute to pitch documents and offers.
  • Coach and develop more junior colleague’s quantitative finance and consulting skills.

Technical Skills

  • 4+ years of experience in quantitative finance positions including a background in consulting.
  • Strong background in quantitative finance with cross asset experience (IR, FX, fixed income, precious metals and equity).
  • Good knowledge of Valuation/pricing models, multicurve discounting and curve building methodologies, Counterparty Credit Risk, XVA
  • Understanding of regulations applicable to OTC derivatives with respect to Counterparty Credit Risk, Market Risk, and Margin regulations as well as associated model risk management, and capital requirements.
  • Very good C++ and good Python skill and Excel VBA plus experience in an additional higher level language e.g. C#, Java, etc.
  • Experience with version control systems (GIT) and distributed development process

Personal Skills

  • Strong delivery capability within large & complex client projects as well as the ability to deliver on smaller projects independently.
  • Good communication skills (verbally and written) in particular with client’s project management and staff.
  • Although remote work is becoming more prevailing a fundamental willingness to travel is important.

Qualifications

  • Master’s Degree in a quantitative discipline from a top University or bachelor’s degree from a top-tier school with additional strong quantitative finance qualification.