The Surveillance team within a World Leading Investment Bank is looking to hire a full time Quant/Analytics expert to:
- Work with a vendor party in the agile implementation of an integrated, component-based surveillance framework and perform business as usual development. The framework will consist of tailored visualizations on production of alerts, a surveillance database with integrated parameters, a workflow tool and overarching supervision web portal.
- Implement MiFIDII best execution procedures, measure execution performance and report on execution quality.
The individual will be based in the Company’s London Branch office and will have a direct reporting line to EMEA Surveillance SME. The individual will:
- Learn the Surveillance vendor’s framework as it is being built and will eventually be tasked with adding ad hoc code additions and changes depending on supervisor requirements.
- Learn to utilize the MiFIDII best execution system and control the developing of parameters, reporting and monitoring of execution quality.
- Design and consult on kdb+/Q, Java queries and/or presentation/visualization tools to achieve analytics objectives.
- Join data to kdb+/Q surveillance database from multiple sources (e.g. e-trading database transaction, order and market data; reference / static data; etc.) and in multiple formats (e.g. queried output, api, csv file upload, sftp drop)
- Parameterize activity to produce accurate exceptions and tailor as needed, e.g. thresholds, time windows, combination of alerts.
- Construct dashboards using vendor framework, e.g.:
- Timeseries view of trader/desk p&l relative to other trader/desk p&l / currency pair volatility
- Timeseries view of number of cancelled / amended trades per trader
- Timeseries view of communications alerts by trader/desk
- View of last look rejected trades amount and value
- Develop alerts for exceptions, e.g.:
- Trigger real-time alert for an executed trade / order where price is greater than 2% of the mid-market rate;
- Triger alert for abnormal transaction e.g. large volume, unusual currency pair
- Trader/desk trade/comm alert mapping
- Trigger alert when exposure reaching / breached risk limits
- Create workflow and queue functionality in Jira
- Create reports as needed
- Create Management Information presentations for periodic reviews
- Work with and educate internal quantitative developers on kdb+/Q programming
- Understand and research MiFIDII best execution requirements.
- Implement best execution procedures to ensure compliance with MiFIDII.
- Provide daily, monthly and quarterly data analysis of execution quality.
- Research and analyze execution data from competing markets to explore opportunities and or support continued routing decisions.
- Make order execution and routing recommendations based on review of execution quality and implement proposed recommendations where approved.
- Tailor best execution parameters to product and order specifications.
- Create execution quality performance management information for periodic review.
Bachelor's degree or the equivalent combination of education and experience. Advanced degree in quantitative analysis preferred. Significant relevant work experience preferred. Experience in quantitative finance and technology preferred.
- Knowledge of / familiarity with kdb+/Q
- Experience coding in another language e.g. SQL, Java, or a degree in Data Science / Computer Science or demonstrable qualification/experience.
- Experience in best execution analysis and reporting is preferred.
- Experience in trade surveillance alerts development is preferred.
- Knowledge of MiFIDII best execution requirements is preferred.
- Experience working within agile project teams (e.g. Scrum, Kanban etc).
- Analytical Skills
- Credit Risk
- Risk Management