Front Office Vanilla Interest Rate Quant (VP), London
Posted 6 days ago
- London, Greater London
- Any
- External
- Expires In 3 months
Up to £160k Base + 50% Bonus
Leading Global Investment Bank
Yield curves, Xccy swaps, Skew, CDS, C# or C++
Our client, a leading Investment Bank, seeks to hire a VP Quant Analyst to join its expanding Front Office Quant team in London. With a solid background as a Fixed Income Quant (Front Office or Modal Val), you will provide modelling & pricing (e.g. Swaps, Curves, etc.), building tools & applications and developing the quant model library in C++ & C#. You will also assist Traders with Quant solutions and also provide quantitative solutions to the wider firm as per business needs.
KEY RESPONSIBILITES:
Contribute to the development of in-house quant solution, with focus on pricing, risk, model calibration and market data
Assist in the extension of the pricing library to comply with the Model Risk frameworks.
Improve tools used by traders.
Analyze desk sensitivities (risks) and attribution of PnL, implementing changes in libraries and tools.
Improve the internal market data model for certain data types, for example CDS spreads.
Contribute to the effort to remove unused features from internal libraries and tools.
Contribute to documentation and validation of model
ESSENTIALS SKILL, EXPERIENCE
4 yrs+ in front office or model validation.
Good understanding of IR derivatives (swap with multi-urve, swaptions with skew), vanilla derivatives in one other asset class
Strong quant development skills in C# or C++.
Contributed to production code used for valuation or risk engine for PnL & sensitivities
IR curve bootstrapping expertise: e.g. choice of interpolation, choice of instruments, curve hierarchy, etc.
Good understanding of risk profiles of Xccy swaps, vanilla options.
Experience in changing valuation Monte Carlo, PDE, tree or numerical integration
PhD or Masters in a Scientific Discipline
(Hybrid working - 3 days in Office)
Leading Global Investment Bank
Yield curves, Xccy swaps, Skew, CDS, C# or C++
Our client, a leading Investment Bank, seeks to hire a VP Quant Analyst to join its expanding Front Office Quant team in London. With a solid background as a Fixed Income Quant (Front Office or Modal Val), you will provide modelling & pricing (e.g. Swaps, Curves, etc.), building tools & applications and developing the quant model library in C++ & C#. You will also assist Traders with Quant solutions and also provide quantitative solutions to the wider firm as per business needs.
KEY RESPONSIBILITES:
Contribute to the development of in-house quant solution, with focus on pricing, risk, model calibration and market data
Assist in the extension of the pricing library to comply with the Model Risk frameworks.
Improve tools used by traders.
Analyze desk sensitivities (risks) and attribution of PnL, implementing changes in libraries and tools.
Improve the internal market data model for certain data types, for example CDS spreads.
Contribute to the effort to remove unused features from internal libraries and tools.
Contribute to documentation and validation of model
ESSENTIALS SKILL, EXPERIENCE
4 yrs+ in front office or model validation.
Good understanding of IR derivatives (swap with multi-urve, swaptions with skew), vanilla derivatives in one other asset class
Strong quant development skills in C# or C++.
Contributed to production code used for valuation or risk engine for PnL & sensitivities
IR curve bootstrapping expertise: e.g. choice of interpolation, choice of instruments, curve hierarchy, etc.
Good understanding of risk profiles of Xccy swaps, vanilla options.
Experience in changing valuation Monte Carlo, PDE, tree or numerical integration
PhD or Masters in a Scientific Discipline
(Hybrid working - 3 days in Office)