Front Office Rates Quant (VP)

London
Ref: QARFX-0501
££ Excellent Package plus Front Office bonus
Top-tier Global Investment Bank
Rates Curves & Exotics, Libor Migration

The Quantitative Analytics group at this top-tier investment bank supports the front office businesses in trading & structuring a range of rates & Libor products. They now seek a talented Quant to support Curve & Term-structure modelling for Rates derivatives pricing and Libor migration.

KEY RESPONSIBILITIES:

  • Build & implement pricing models for Rates-linked Derivative 
  • Document & testing new and existing models
  • Support the analytics model library for the quants, trading & risk

KEY SKILLS & EXPERIENCE:

  • 3-7 years analytic, modelling, pricing & risk skills gained in finance
  • Programming using C++, Python
    Understanding of Rates, Linear & Non-linear & Libor / Term-structure modelling
  • Experience gained either at a bank or at a Risk software house developing derivative pricing models
  • MSc or PhD in Finance, Maths, Physics, Comp Sci, Econometrics, Stats or Engineering
  • Available for occasional international travel