Senior Quantitative Analyst

4 weeks ago

London, Greater London, United Kingdom Millar Associates Full time

Senior Quantitative Analyst - Interest Rate Products (VP), London

London Ref: FOVIR-0107 Total to £240 + Benefits Leading Global Investment Bank Yield curves, Xccy swaps, Skew, CDS, C# or C++

Millar Associates is seeking a highly skilled VP Quantitative Analyst to enhance its Front Office Quantitative team in London. The ideal candidate will possess a robust background in Fixed Income Quantitative Analysis, either in a Front Office capacity or within Model Validation. This role involves providing advanced modeling and pricing solutions (e.g., Swaps, Curves), developing tools and applications, and expanding the quantitative model library using C++ and C#. Additionally, you will support Traders with quantitative solutions and deliver analytical insights to the broader organization as required.

KEY RESPONSIBILITIES:

  • Develop proprietary quantitative solutions with an emphasis on pricing, risk assessment, model calibration, and market data integration.
  • Assist in enhancing the pricing library to align with Model Risk frameworks.
  • Optimize tools utilized by traders for improved efficiency.
  • Conduct analysis of desk sensitivities (risks) and PnL attribution, implementing necessary modifications in libraries and tools.
  • Refine the internal market data model for specific data types, such as CDS spreads.
  • Participate in efforts to eliminate redundant features from internal libraries and tools.
  • Contribute to the documentation and validation processes of models.

ESSENTIAL SKILLS AND EXPERIENCE:

  • Minimum of 4 years of experience in front office roles or model validation.
  • Strong understanding of Interest Rate derivatives (e.g., multi-curve swaps, swaptions with skew) and vanilla derivatives in at least one additional asset class.
  • Proficient in quantitative development using C# or C++.
  • Experience contributing to production code utilized for valuation or risk engines for PnL and sensitivities.
  • Expertise in IR curve bootstrapping, including interpolation choices, instrument selection, and curve hierarchy.
  • Solid understanding of risk profiles associated with Xccy swaps and vanilla options.
  • Familiarity with valuation techniques such as Monte Carlo simulations, PDE, tree methods, or numerical integration.
  • Advanced degree (PhD or Masters) in a relevant scientific discipline.
  • (Hybrid working model - 3 days in office)

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