Flow Credit Quant Analyst (VP), Large Hedge Fund & FinTech, London

This leading Asset Management firm has over 350 staff and offices in London, Hong Kong, and New York.  Their Quant team develop the core Quant analytics library (in C++) and provide tools for client funds and their PMs. Their platform is considered an industry leader in trading analytics, risk analysis and operational robustness, delivering pricing, scenario, risk and P&L for their portfolios and the ability to structure and overlay new positions.

They now seek an enthusiastic Flow Credit Quant to further develop their analytics for credit cash and derivative products and associated analysis tools to meet the needs of client portfolio managers. 

RESPONSIBILITIES:

• Develop models and enhance the core Flow Credit Quant analytics library (C++) and build front office tools
• Build out library functionality (C++) for valuation, risk, scenario, for OTC & listed derivatives
• Provide associated risk management tools
• Deliver analytics documentation and test materials

KEY SKILLS & EXPERIENCE:

• 3 years+ experience as a Quant in Flow Credit including CDS, Bonds, CLNs, CMS spreads, Index, etc.
• PhD or Masters in a quantitative discipline
• Excellent C++ skills, into a managed pricing library.  Also Python, SQL, etc.
• Strong skills in communicating with external clients/Portfolio Managers, as well as internal (risk, IT, etc.)
• Passion for credit and rates markets and modelling
• Index options pricing. understanding the expected behaviour of such models
• Good understanding of bond basis models
• Familiar with: Stochastic correlation, Callable bond modelling, Index basis vol, etc.