Snr Credit Quant (Flow & Structured), (VP), London

Ref: FCQA-1008
Total to £260k + Benefits
Top-Tier Global Investment Bank
CDS, Bonds, CLNs, TRS, Credit Index Options, ETFs, CMS, Structured Credit, C++, Python

The global Quant Research group at this Tier-1 Investment Bank is seeking an enthusiastic Credit Quant to further develop their analytics for credit cash and derivative products and associated analysis tools to meet the needs of their Traders & Risk Managers.  This is a great opportunity to work with traders & quantitative peers in developing a range of Credit products in a tier-1 banking group.


  • Develop models and enhance the core Credit Quant analytics library (C++) and build front office tools
  • Build out library functionality (C++) for valuation, risk, scenario, for OTC & listed derivatives
  • Development of models used for pricing and risk management, including PnL Explain & Capital Charges tools
  • Supporting the Sales & Trading desk by providing them with quantitative tools
  • Mentor and help managing the junior members of the team
  • Provide associated risk management tools
  • Deliver analytics documentation and test materials


  • 5 years+ as a Credit Quant covering several of the following areas: CDS, Bonds, CLNs, Repack Swaps & Notes, CMS spreads, Convertibles, Loans, Structured Credit, Credit Index Options, Quanto CDS, etc.
  • Excellent modern C++ skills, into a managed pricing library.  Also Python, SQL, etc.
  • Strong communicating skills with, traders, stakeholders, risk, & IT (some understanding Optimisation & Cloud Compute will be useful).
    • Passion for credit, markets and modelling
    • Good understanding of Bond basis models, CMS Rate & Forward Swap Rates, good intuition about the Rates sensitivity of a CDS., etc.
    • Familiar with: Stochastic correlation, Callable bond modelling, etc. & FRTB will be helpful.
    • PhD or Masters in a quantitative discipline