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

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.

RESPONSIBILITIES:

• 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

KEY SKILLS & EXPERIENCE:

• 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