Front Office Rates Quant Analyst (VP-SVP)

London
Ref: LIBQ-1211​
£££ Highly Competitive Salary Package
Leading Global Investment Bank
IR Benchmark Reforming (Libor reform/ Discontinuation of Libor)

Our client, a leading Investment Bank, seeks to hire an experienced quant analyst to join its expanding global rates business in London. Ideally looking for quants with a background of Interest Rate benchmark reforming (Libor reform/Discontinuation of Libor), or from the XVA space, you will work on new model development, as well as solving several open questions in the quant world.

KEY RESPONSIBILITIES:

  • Lead the benchmark rate reforming in the front office quant team, supporting management.
  • Develop valuation models in the front office for new products, including without limitation, products with fall back libor.
  • Increase modelling quants capacity for new business requests
  • System integration of the valuation model

ESSENTIAL SKILLS & EXPERIENCE:

  • 5+ years in a front office modelling quant analytics role
  • Interest Rate benchmark reforming experience (Libor reform/Discontinuation of Libor etc.).
  • Masters of PhD educated in a relevant quantitative field
  • Unknown valuation problem solving skills (e.g. value structured products with fall back libor etc)
  • Solid testing skill for valuation model accuracy
  • Ability to coordinate system integration of a valuation model
  • Solid programming skills in C++, C# or Python
  • Strong communication skills

DESIRABLE EXPERIENCE:

  • Front office XVA quant experience with multi asset modelling.
  • Front office flow rate quant experience with curve building
  • Experience in two or more asset classes
  • Regulation knowledge