Quantitative Analyst

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Job Description

Treasury Quant (Margin & Funding)


We are seeking a Treasury Quant to take ownership of modelling and optimisation across margin and treasury functions.

The role will focus on developing quantitative frameworks to analyse margin requirements, optimise collateral usage, and improve funding efficiency across trading activities.

The position sits between treasury, risk, and trading teams and will involve building tools that provide transparency into margin drivers and funding costs.


Key Responsibilities

• Develop and maintain margin replication models, including methodologies aligned with SIMM and CCP frameworks such as Eurex.

• Build tools to forecast and analyse margin requirements and sensitivities.

• Design and implement margin optimisation techniques, including approaches that consider tail-risk scenarios.

• Develop quantitative models supporting treasury workflows including repo funding, cost of funds/carry analysis, and collateral optimisation.

• Build analytics to support cash and collateral allocation across portfolios.

• Work closely with trading, risk, and treasury teams to integrate margin and funding considerations into portfolio and risk management processes.


Requirements

• Strong background in quantitative finance, mathematics, physics, or a related field.

• Experience developing margin models or replication frameworks, ideally involving SIMM or CCP margin methodologies.

• Understanding of derivatives, collateral management, and funding mechanics.

• Strong programming skills in Python, C++, or similar.

• Experience with optimisation techniques, risk modelling, or quantitative analytics.


Desirable

• Experience with central clearing margin models such as Eurex, LCH, or CME.

• Familiarity with repo markets, balance sheet optimisation, or XVA-related concepts.

• Experience working in a quant, treasury, or margin analytics role within a bank, trading firm, or clearing environment.

Apply
Location:
City Of London
Job Type:
FullTime
Category:
Science

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