​Lead Cross-Asset Structured Quant Analyst, FX/IR Hybrids (VP-Director)

London
Ref: CAQ-1211
£££ Highly Competitive Salary Package
Leading Global Investment Bank
Multi Asset Modelling, FX/IR Hybrids

Our client, a leading Investment Bank, seeks to hire an experienced Quant Analyst to join its expanding Front Office business in London. You will be responsible for multi-asset modelling & pricing (e.g. FX/IR hybrids), building Front Office tools & applications and developing the quant model library in C++ & C#. You will also provide quantitative solutions to the wider firm as per business needs.

KEY RESPONSIBILITIES:

  • Quantitative valuation modelling
  • Implement valuation models, tools & pricers into the quant library, including structured FX/IR models and tool development
  • Provide support to the trading desk and risk management
  • Coordinate with quant developers the delivery of models & pricers into production
  • Train & mentor junior colleagues

ESSENTIAL SKILLS & EXPERIENCE:

  • 5+ years’ in a Front Office modelling quant analytics role
  • Expertise in cross asset modelling: FX/IR cross asset products, smile modelling, quanto modelling
  • Good knowledge of market conventions
  • Track record of pushing models into production systems
  • Able to build stable valuation models & perform testing
  • Experience developing pricing libraries (C# or C++) & supporting front office tools (Excel)
  • Excellent communication skills
  • Masters or PhD educated in a relevant quantitative field

DESIRABLE SKILLS & ATTRIBUTES:

  • Broad product knowledge: Emerging Currencies, Equity or Credit
  • Good understanding of Regulations (FRTB, etc.)
  • Additional IT skills: e.g. databases, valuation system architecture