Front Office Rates Quant Analyst (LIBOR Decommission) VP/Director, NYC, Ldn

New York & London
Ref: LIBQ-1211
Highly Competitive Salary Package
Top-tier Global Investment Bank
Flow Rates modelling / Interest Rate Benchmark reform / Libor

Our client, a leading Investment Bank, seeks to hire an experienced quant analyst in London to lead the benchmark rate reforming project within the front office quant team. Ideally looking for modelling quants with a background in Flow Rates (Curves), XVA, or two or more asset classes. 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 (two or more asset classes)
  • 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

BENEFICIAL 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