Front Office Vanilla Interest Rate Quant

1 day ago


London, UK, United Kingdom Millar Associates Full time

Up to £250k Total

Leading Global Investment Bank

Yield curves, Xccy swaps, Skew, CDS, C# or C++


Our client, a leading Investment Bank, seeks to hire a VP Quant Analyst to join its expanding Front Office Quant team in London. With a solid background as a Fixed Income Quant (Front Office or Modal Val), you will provide modelling & pricing (e.g. Swaps, Curves, etc.), building tools & applications and developing the quant model library in C++ & C#. You will also assist Traders with Quant solutions and also provide quantitative solutions to the wider firm as per business needs.


KEY RESPONSIBILITES:

  • Contribute to the development of in-house quant solution, with 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 model


ESSENTIALS SKILL, EXPERIENCE

  • At least 5 yrs+ 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
  • (Hybrid working - 3 days in Office)


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