Snr Credit Quant

1 month ago

London, United Kingdom Top-Tier Global Investment Bank Full time
Snr Credit Quant (Flow & Structured), (VP), London

London

Ref: FCQA-1008

Total to £260k + Benefits

CDS, Bonds, CLNs, TRS, Index, ETFs, Loans, Structured Credit, C++, Python

The global Quant Research group at this Tier-1 Investment Bank is seeking an enthusiastic Flow Credit Quant to further develop their analytics for credit cash and derivative products and associated analysis tools to meet the needs of their Traders & Risk Managers. This is a great opportunity to work with traders & quantitative peers in developing a range of Credit products in a tier-1 banking group.

RESPONSIBILITIES:

  • Develop models and enhance the core Flow Credit Quant analytics library (C++) and build front office tools
  • Build out library functionality (C++) for valuation, risk, scenario, for OTC & listed derivatives
  • Development of models used for pricing and risk management, including PnL Explain & Capital Charges tools
  • Supporting the Sales and the desk strategists by providing them with quantitative tools
  • Mentor and help managing the junior members of the team
  • Provide associated risk management tools
  • Deliver analytics documentation and test materials

KEY SKILLS & EXPERIENCE:

  • 5 years+ as a Credit Quant with Credit knowledge covering CDS, Bonds, CLNs, repack Swaps & similar, CMS spreads, Convertibles, Loans, etc.
  • Excellent modern C++ skills, into a managed pricing library. Also Python, SQL, etc. 
  • Strong skills in communicating with colleagues, traders, stakeholders, risk, & IT (some understanding Optimisation & Cloud Compute will be useful).
  • Passion for credit, markets and modelling
  • Good understanding of Bond basis models, CMS Rate & Forward Swap Rates, good intuition about the Rates sensitivity of a CDS., etc.
  • Familiar with: Stochastic correlation, Callable bond modelling, etc. & FRTB will be helful. #J-18808-Ljbffr

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