Flow & Structured Credit Quant, London
Excellent package with substantial bonus & benefits
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.
- 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)