Quantitative Analyst
1 month ago
Job Title: Quantitative Analyst - Front Office
Company: Top-Tier Global Investment Bank
We are seeking a highly skilled Quantitative Analyst to join our Front Office team in London. The successful candidate will have a strong background in fixed income and a solid understanding of IR derivatives, including swaps with multi-curve and swaptions with skew.
Key Responsibilities:
- Contribute to the development of in-house quant solutions, focusing on pricing, risk, model calibration, and market data.
- Assist in the extension of the pricing library to comply with Model Risk frameworks.
- Analyze desk sensitivities (risks) and attribution of PnL, implementing changes in libraries and tools.
- Improve the internal market data model for certain data types, such as CDS spreads.
Requirements:
- 4+ years of experience in front office or model validation.
- Good understanding of IR derivatives, vanilla derivatives in one other asset class, and risk profiles of Xccy swaps and vanilla options.
- Contributed to production code used for valuation or risk engine for PnL & sensitivities.
- PhD or Masters in a Scientific Discipline.
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