Linear Rates Quant, Macro Hedge Fund, London
London, Mayfair
Ref: LRQ-1304
Total to £240K + Benefits
Leading Macro Hedge Fund
Linear Product (Swaps, Bonds, etc.), Options, Pricing & Risk, Python
This leading global trading an investment firm with offices in London, New York and Singapore, has an excellent reputation and track record in the application of global macro hedge fund strategies.
The Quant team develop the internal analytics platform used by PMs & Researchers, providing essential data for risk managers & product control. They deliver derivative pricing & risk analytics as well as data-based research tools. They now seek a Rates Quant to contribute to the development of the firm’s pricing analytics, and the development of a new python-based curve-fitting framework and pricing / risk engine. You'll need strong modelling skills, good understanding of fixed income analytics and solid understanding of fixed income / rates products.
RESPONSIBILITIES:
- Contribute to the development of a new python-based curve fitting framework and pricing / risk engine
- Build front office risk management and trade finding tools.
- Build out library functionality for valuation, risk, scenario, for a wide range of cash products in G10 and EM, and listed derivatives
- Provide day to day quantitative support for the firm’s portfolio managers and risk managers.
ESSENTIAL SKILLS:
- 3-10 yrs+ experience as a Quant with good knowledge of Linear Rates and curves modelling
- Minimum Master’s degree in a quantitative subject (Physics, Maths, Engineering, Computer Science)
- A passion for financial markets and a willingness to engage in and learn interest rate modelling.
- Strong Python hands-on programming skill is a core requirement
- Ability to communicate with Portfolio Managers, traders, risk & the Front Office
DESIRABLE ATTRIBUTES:
- C# /Microsoft Excel experience is a plus
- Familiarity with databases and query writing
- Experience in curve calibrations including OIS discounting, collaterals and funding curves
- Experience working with Front Office
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+44 20 7589 8000
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