Quantitative Analyst

London (Central), London (Greater)
Market rate
24 Aug 2018
27 Sep 2018
Contract Type
Full Time

Job Title: Quantitative Analyst

Employer: Rokos Capital Management LLP

Location: Mayfair, London

Salary: Market rate

Duration: Permanent

Closing date for applications: 27 September 2018

Who we are

Rokos Capital Management LLP (“RCM”) is a hedge fund manager founded in 2015 and currently has over 110 employees between our London headquarters and Washington, D.C. research office. The Firm manages a global macro hedge fund that targets consistent long-term returns for our investors within a well-defined risk framework. The fund is active in the major macro asset classes: interest rates, FX, equities, as well as emerging markets, credit and commodities.

Our values

At RCM, our culture is driven by teamwork, our ability to analyse and solve complex problems, and our embedded ‘QED’ ethos: you will work alongside exceptional people who question consensus, maintain high ethical standards and are continually demanding of themselves.

Our Quantitative Analytics team

Our Quantitative Analytics (QA) team is responsible for the maintenance and improvement of our core quantitative analytics library – it includes but is not limited to pricers, models, risks and trade analysis tools. As part of a well-defined rotation QA members are also the first line of support to the business when it comes to all the derivatives pricing and risks used by RCM.

You will make a difference

There is a strong culture of ownership and responsibility – every role is valued and everyone has the opportunity to have a significant impact on the team and wider organisation.

Key responsibilities

  • In order to be successful in the QA team, we seek candidates who combine excellent academics, maths, programming skills and market understanding with a practical approach to problem solving.
  • Successful candidates must be happy working on all aspects of a quant project from start to finish (understanding the business problem, modelling and solving the resultant maths problem, sourcing any required data, and then coding the production solution) and contribute in improving the cross-asset Quant library.
  • Help maintain the risk and P&L explain system 
  • Help maintain pre and post-trade analysis trading tools and spreadsheets (P&L breakdown, trade idea generation, screening for interesting opportunities)
  • Coding design and architecture of parts of the pricing library
  • Help maintain and build new models for pricing and new product requests and risk management of the book

What are the key skills of successful candidates?

In order for you to get the most out of this role, you’ll need to have:

  • Outstanding academics: A Levels at grade A*/A (or international equivalent) and a 1st class Bachelor’s and Master’s degree in a STEM subject
  • PhD in a STEM discipline
  • Notable academic awards
  • Demonstrable recent relevant experience, in particular, experience in Derivatives Pricing and Modelling, gained working in a leading Hedge Fund or Investment Bank
  • Excellent maths intuition and knowledge
  • An intuitive understanding of derivatives and market knowledge
  • Experience with MatLab, C++, Excel and GIT/CVS
  • Ability to pick up new skills quickly and adapt to new working environments
  • Excellent communication skills and a pragmatic problem solver
  • Ability to work independently and demonstrate strong initiative