Snr Credit Quant

Found in: Talent UK C2 - 3 weeks ago

London, United Kingdom Millar Associates Full time

Snr Credit Quant (Flow & Structured), (VP), London

London Ref: FCQA-1008 Total to £260k + Benefits Top-Tier Global Investment Bank CDS, Bonds, CLNs, TRS, Credit Index Options, ETFs, CMS, Structured Credit, C++, Python

The global Quant Research group at this Tier-1 Investment Bank is seeking an enthusiastic Credit Quant to further develop their analytics for credit cash and derivative products and associated analysis tools to meet the needs of their Traders & Risk Managers. This is a great opportunity to work with traders & quantitative peers in developing a range of Credit products in a tier-1 banking group.

RESPONSIBILITIES:

Develop models and enhance the core Credit Quant analytics library (C++) and build front office tools Build out library functionality (C++) for valuation, risk, scenario, for OTC & listed derivatives Development of models used for pricing and risk management, including PnL Explain & Capital Charges tools Supporting the Sales & Trading desk by providing them with quantitative tools Mentor and help managing the junior members of the team Provide associated risk management tools
Deliver analytics documentation and test materials

KEY SKILLS & EXPERIENCE:

5 years+ as a Credit Quant covering several of the following areas: CDS, Bonds, CLNs, Repack Swaps & Notes, CMS spreads, Convertibles, Loans, Structured Credit, Credit Index Options, Quanto CDS, etc. Excellent modern C++ skills, into a managed pricing library. Also Python, SQL, etc. Strong communicating skills with, traders, stakeholders, risk, & IT (some understanding Optimisation & Cloud Compute will be useful). Passion for credit, markets and modelling Good understanding of Bond basis models, CMS Rate & Forward Swap Rates, good intuition about the Rates sensitivity of a CDS., etc.
Familiar with: Stochastic correlation, Callable bond modelling, etc. & FRTB will be helpful. PhD or Masters in a quantitative discipline

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