Snr Structured Credit Quant, (VP, Dir), PARIS

This top-tier investment bank seeks to hire a senior Quant Analyst for a lead role in their front office quant team in Paris. With a background in at least two of the above product areas, you will support the Global Markets platform, which offers a multi-product approach across all asset classes, enhance the core Quant analytics library and and provide tools for Traders. Their goal is to provide quality investment and risk management solutions to asset managers, pension funds, corporates, private banks, insurers, hedge funds, family offices, sovereign wealth funds globally.

KEY RESPONSIBILITIES:

• Work closely with Fixed Income Desks and liaise with Risk, Finance & IT teams
• Formalize the needs of traders and financial engineers in terms of valuation, hedging & risk
• Develop and test Credit models models in an OO language (mainly C++) and work on Trading tools
• Ensure high-quality standards for calculation libraries, in terms of performance & stability
• Awareness of regulatory subjects and able to interact with the Risk department

ESSENTIAL SKILLS & EXPERIENCE:

• 6-12 yrs quant modelling skills with risk neutral pricing, hedging, etc. gained preferably in the Front Office but we’ll also consider Model Validation
• Structured Credit experience in several of the following:    Bond repacks, CLN, AMC, ETFs & iBoxx TRS, skew, negative basis, Index options, First-to-default, index & bespoke tranches, DCLNs, Long dated callables, credit + exotic FX/IR/INF payoffs, Loan Repacks, Synthetic risk transfer leveraged BLNs.
• Good coding skills in a big Library environment, close to trading (C++)
• Good proven awareness of regulatory subjects and able to interact with the Risk department
• Great communication skills and fluent in English
• Excellent academic quals including Masters or PhD in a quantitative discipline from a top-tier institution