Quantitative Analyst

2 weeks ago

London, Greater London, United Kingdom Millar Associates Full time

Quantitative Analyst - Front Office Interest Rate Modelling

Millar Associates is seeking a skilled Quantitative Analyst to join its Front Office team in London. The successful candidate will be responsible for developing and maintaining in-house quant solutions, with a focus on pricing, risk, model calibration, and market data.

Key Responsibilities:

  • Contribute to the development of in-house quant solutions, with a focus on pricing, risk, model calibration, and market data.
  • Assist in the extension of the pricing library to comply with the Model Risk frameworks.
  • Improve tools used by traders.
  • Analyze desk sensitivities (risks) and attribution of PnL, implementing changes in libraries and tools.
  • Improve the internal market data model for certain data types, for example CDS spreads.
  • Contribute to the effort to remove unused features from internal libraries and tools.
  • Contribute to documentation and validation of models.

Essentials Skills and Experience:

  • 4+ years of experience in front office or model validation.
  • Good understanding of IR derivatives (swap with multi-urve, swaptions with skew), vanilla derivatives in one other asset class.
  • Strong quant development skills in C# or C++.
  • Contributed to production code used for valuation or risk engine for PnL & sensitivities.
  • IR curve bootstrapping expertise: e.g. choice of interpolation, choice of instruments, curve hierarchy, etc.
  • Good understanding of risk profiles of Xccy swaps, vanilla options.
  • Experience in changing valuation Monte Carlo, PDE, tree or numerical integration.
  • PhD or Masters in a Scientific Discipline.

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