Markets Quantitative Analysis (MQA)

Markets Quantitative Analysis (MQA) has responsibility for developing and supporting the financial models used for the pricing of securities for the Trading desks and for the risk management of the Firm’s positions globally within the Markets Division of the Institutional Clients Group (ICG).

MQA has teams of quantitative analysts vertically aligned to each business by asset class, covering Equities & Hybrids, G10 Rates and Local Markets, FX, Credit, Commodities and Mortgages/ Securitised Markets. There are also teams which are horizontally aligned and whose work span multiple businesses to address cross-asset requirements in areas such as Algorithmic trading, Risk Management, Investment Strategy Modelling and Index Publication, Decision Support tools, CVA and regulatory work (Dodd-Frank, Basel II / III).

An increasingly important part of MQA is the Common Quant Development team whose role is to provide a common interface and functionality across all the individual asset-class specialist model libraries, plus provide a robust and state-of the art common development platform and toolset for the department. MQA also provides extensive on-desk support for pricing and ad hoc risk enquiries for the Trading desks. Since the Financial crisis, the focus from Regulators, and hence an increasing part of our work, has been on stress testing models, more extensive documentation for the models and on-going performance monitoring of the models.

MQA's key business partners within the Institutional Client Group are the Trading, Structuring and Sales Desks, the Risk Organisation (including the Model Validation Group), Valuation and Control, and the Technology Risk teams.