Flow & Structured Credit Quant, London

London
Ref: FSCQ-2409
To £250k total
Top-tier Investment Bank
CDS, Bonds, CLNs, Index, Swaps, Structured Notes, etc.

The global Quant Research group at this Tier-1 Investment Bank is seeking an experienced Quantitative Analyst for the Credit trading desk to develop and implement Flow & Structured Credit models for its global fixed income trading group.  With a strong background & experience in quantitative finance, IT development, trading environments, and product knowledge, this is a great opportunity to work with traders & quantitative peers in developing a range of Credit products in a top-tier global banking group.

KEY RESPONSIBILITIES:

  • Design of mathematical models across Flow & some Structured Credit
  • Communicate effectively with traders and structuring team
  • Implement mathematical models within the analytic library 
  • Support, releasing, maintenance and integration of the library.

KEY SKILLS AND EXPERIENCE:

  • Flow Credit knowledge essential: CDS, Bonds, CLNs, repack Swaps & similar, CMS spreads
  • Some Structured Credit knowledge: CSA discounting, Range accruals, CMS spreads, Index tranches, etc.
  • Statistical analysis and interpretation of quantitative data
  • Strong programming abilities in C++, C# or Java with Python or Java script
  • PhD/Masters in a quantitative field (Maths, Statistics, Physics, Engineering)
  • Interest in the wider IT culture (machine learning, parallelization, network, new languages)