Senior Quantitative Analyst Rates

2 days ago


London, Greater London, United Kingdom Top-Tier Global Investment Bank Full time
Rate Markets Leader

This Top-Tier Global Investment Bank has over 350 staff and offices in London, Hong Kong, and New York. Their Quant team develop and enhance the core rates analytics library (written in C++) and provide front office tools for traders/PMs. Their platform is considered an industry leader in trading analytics, risk analysis and operational robustness, delivering pricing, scenario, risk and P&L for their portfolios and the ability to structure and overlay new positions.

You'll need strong modelling skills, good understanding of fixed income analytics and solid understanding of fixed income / rates products for this exciting opportunity to work closely with technical portfolio managers in a market focussed quant group in a rapidly growing business.

Main Responsibilities:

  • Contribute to enhancing the core rates analytics library (written in C++) and front office tools.
  • Provide ongoing support to clients and maintenance of existing BAU processes
  • Assist in leveraging the analytics and front end to build-out of a market leading system for Fixed Income asset management
  • Deliver tools & analytics to price and risk Linear & Non-linear Rates products using LMM, SABR, Cheyette, Vanilla models.

Estimate salary £260K + Benefits. To be successful, you'll require 5-12 yrs+ professional experience as a Quantitative Analyst in Rates, with a solid track record of delivery. Key skills include knowledge of Linear and non-linear rates products, ranging from swaps, bonds to listed and OTC products, 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.



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