Fixed Income & Credit Hybrids Quant, (VP & Dir)

London
Ref: SFIQ-2010
Up to £250K Total
Major Global Investment Bank
Structured Notes, Repac Swaps and similar, CDS, Bonds, CLN, CVA, CSA discounting (Range accruals, CMS spreads, Index tranch pricing, etc.)

The global Quant Research group at this leading Investment Bank develops models to price and hedge derivatives & hybrid products. We seek an experienced Quantitative Analyst for the Fixed Income / Structured Credit trading desk to develop and implement models for pricing & hedging and regulatory risk measures for fixed income trading.

With a minimum of 4-8 years in quant finance, IT development, trading environments, you will work with talented traders & quants in developing a range Structured Rates & Credit products.

KEY RESPONSIBILITIES:

  • Design and proper documentation of mathematical models adequately reflecting business and regulatory requests, commercial and legal documentation (term-sheets)
  • Communication with traders and structuring team
  • Implementation of mathematical models within a production analytic library and IT infrastructure in form of production-quality C++ code
  • Support, releasing, maintenance and integration of the library.

KEY SKILLS AND EXPERIENCE:

  • Solid background in stochastics, probability, numerical analysis
  • PhD in Math. Physics, Engineering or similar desirable, but not essential
  • Knowledge of main instruments in Fixed Income and Credit
  • Specifically, CDS, Bonds, CLN, repack swaps and similar instruments, CVA, CSA discounting (Range accruals, CMS spreads, Index tranch pricing, etc.)
  • Understanding of VaR, ES and similar regulatory risk measures
  • Strong C++ is essential: - Design patterns, Templates, Polymorphism. STL, Boost, scientific libraries (preferably NAG). VS and GCC compilers, debugging tools and strategies
  • Knowledge of Windows and UNIX, version control systems the development process

DESIRABLE ATTRIBUTES:

  • Knowledge of distributed computing and serialisation techniques is strongly desirable
  • At least one scripting language: e.g. Python, Perl, Shell Script, C#, Java, VBA. Good knowledge of Excel. EXCEL OPEN interface
  • Knowledge of distributed computing and serialisation techniques (MPI Grids)