BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 73 countries, with more than 196,000 employees, including around 149,000 in Europe. The Group has key positions in its three main activities: Domestic Markets, International Financial Services (whose retail-banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises: corporate clients and institutional investors.
BNP Paribas Corporate and Institutional Banking is a globally recognised leader offering capital markets, securities services, financing, treasury and advisory solutions.
Purpose & Scope of role
Work within an established quantitative research group to enhance the models and analytics underlying the algorithmic execution offering in GM.
The role is for an Algorithmic Execution Quant in the Listed Derivatives space. The candidate will be responsible to work with the business to develop execution models in order to build a new client facing algorithmic execution service. This will include the analysis of client execution performance and to aid in the development in building a new TCA service. Hence this requires not only a good technical knowledge of the concepts but also the ability to express them intelligently to all stakeholders.
The aim to build a new service on top of an existing award winning FX algorithmic execution service with the ambition to expand into other asset classes such as commodities and rates.
The candidate should have prior algo execution experience in the listed derivatives space or with experience in trading future’s markets. In addition the candidate should have a good understanding in the following:
• Market impact
• Order placement strategies
• Transaction cost analysis
• Volume curve analysis
• Adaptive models
• External exchange rules
• Regulations of Listed markets
• Proficient in R
The candidate will join an existing team based on the trade floor and will be working alongside the business to build the platform. The candidate may also be required to meet with external clients so good client communication skills is preferred.
Key Responsibilities of role
• Reporting to the Head of EFIC quants
• Apply state-of-the-art statistical and numerical techniques to studying problems in algorithmic execution, modelling optimal execution and defining the transaction cost analysis
• Monitor and optimize execution trading models based on market micro-structures and order book dynamics.
• Validation, calibration and optimisation of candidate models by back-testing on tick-by-tick historical data
• Consult and share best practice with other members of the EFIC team across asset classes
• Provide efficient communication with trading desks, sales desks and business management
Experience, Qualifications & Competencies
• PhD/masters in statistics or in a mathematical science
• Excellent implementation skills in a modern programming language highly desirable
• industry experience of applied transaction cost analysis (pre and post trade analysis)
• Deep knowledge of listed products
• Previous experience in automated trading, and particularly execution algorithms
• Excellent communication skills
• Drive for Results
• Delivers high quality work and ensures decisions are implemented timely and efficiently
• Risk Awareness
• Demonstrates a good awareness of risk and fundamental risk concepts
• Corporate role model, integrity & ethics
• Acts with discipline and high ethical standards placing the interests of the Bank ahead of personal agenda
• Team Player
• Works effectively in a team