Senior Rates Quantitative Analyst, Leading Global Investment Bank
3 weeks ago
Location: London
Reference: RATES-2303
Compensation: Up to £260K + Benefits
Premier Global Investment Bank
This prestigious global investment bank boasts a workforce of over 350 professionals and operates in major financial hubs. Their Quantitative team is responsible for the development and refinement of the essential Rates Quant analytics framework (developed in C++) and offers advanced tools for traders and portfolio managers. Their platform is recognized as a leader in trading analytics, risk assessment, and operational integrity, providing comprehensive pricing, scenario analysis, risk evaluation, and profit & loss calculations for their investment portfolios, along with the capability to structure and manage new positions effectively.
Candidates should possess robust modeling expertise, a solid grasp of fixed income analytics, and a thorough understanding of fixed income and rates instruments to thrive in this dynamic role, collaborating closely with technical portfolio managers within a market-oriented quantitative group in a rapidly expanding organization.
KEY RESPONSIBILITIES:- Enhance the core Rates Quant analytics framework (developed in C++) and front office tools.
- Provide ongoing client support and maintain existing business-as-usual processes.
- Mentor junior team members as necessary.
- Assist in utilizing analytics and front-end tools to develop a market-leading system for Fixed Income asset management.
- Deliver analytical tools to price and assess risk for both Linear and Non-linear Rates products using models such as LMM, SABR, Cheyette, and Vanilla.
- Expand library functionalities for valuation, risk assessment, and scenario analysis across a diverse range of OTC and listed derivatives, as well as certain cash products in G10 and emerging markets.
REQUIRED SKILLS & EXPERIENCE:
- 5-12 years of professional experience as a Quantitative Analyst in Rates, demonstrating a strong track record of successful project delivery.
- Proficient knowledge of Linear and Non-linear rates products, including swaps, bonds, and both listed and OTC instruments.
- Familiarity with Spread Options, Curve construction (including basis application), Bermudans, Callables, and FVAs.
- In-depth understanding and enthusiasm for derivative analytics and markets, including PDEs and stochastic processes.
- Proficient in C++, Python, and SQL.
- Strong communication skills to effectively engage with Portfolio Managers and the Front Office.
- Desirable: experience in additional asset classes, such as FX or Credit.
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