Rates Quantitative Analyst

2 weeks ago

London, Greater London, United Kingdom Top-Tier Global Investment Bank Full time
Quantitative Analyst - Rates

We are seeking a highly skilled Quantitative Analyst to join our Rates team in London. As a key member of our team, you will be responsible for developing and enhancing our core Rates Quant analytics library and providing front office tools for traders and portfolio managers.

Key Responsibilities:

  • Contribute to the development and maintenance of our Rates Quant analytics library.
  • Provide ongoing support to clients and maintenance of existing business-as-usual processes.
  • Collaborate with junior members to provide guidance and support.
  • Assist in leveraging analytics and front-end tools to build out a market-leading system for Fixed Income asset management.
  • Deliver tools and analytics to price and risk Linear and Non-linear Rates products using LMM, SABR, Cheyette, and Vanilla models.

Requirements:

  • 5-12 years of professional experience as a Quantitative Analyst in Rates, with a solid track record of delivery.
  • Knowledge of Linear and non-linear Rates products, ranging from swaps, bonds to listed and OTC products.
  • Spread Options, Curve building, Bermudans, Callables, FVAs, etc.
  • Deep knowledge of and passion for derivative analytics & markets, PDEs, stochastics.
  • Confident working with C++ & Python, SQL.
  • Strong ability to communicate with Portfolio Managers & the Front Office.

About Us:

We are a Top-Tier Global Investment Bank with a strong presence in London, Hong Kong, and New York. Our Quant team develops and enhances the core Rates Quant analytics library and provides front office tools for traders and portfolio managers. Our platform is considered an industry leader in trading analytics, risk analysis, and operational robustness, delivering pricing, scenario, risk, and P&L for our portfolios and the ability to structure and overlay new positions.

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