Great opportunity to join an exceptional firm as part of their front office quant team. They are in charge of portfolio/cross asset effects (capital, cva, counterparty risk, capital optimisation and sensitivities on the whole balance sheet). Modelling, implementation and support thereof. Each quant in the wider quant team is responsible for supporting the whole business.

Fixed Income Capital Quant/Strat

London based

Capital management strats sit at the core of our clients' front office quant team. They use advanced quantitative techniques to model the company's balance sheet and its exposure to a variety of liquid and illiquid risks. These models are used among other things to determine, analyse and hedge their regulatory capital requirements, and are central to risk management, new business & investment strategy.

As they model the whole balance sheet, they need to understand all their assets, liabilities and capital requirements. They must have a working knowledge of valuation models on a broad range of asset classes and derivatives, as well as on liability trades and CVA. They also need to understand the balance sheet dynamics: how they invest their funds, manage risk, and expand the business. This means that they are ideally placed to have an impact on the investment strategy and risk management decisions. They routinely work with colleagues from other teams, from trading to technology to risk functions.

The ideal candidate will be a "hands-on" quant or quant dev, willing to learn about multiple new asset classes and valuation regimes, and to handle both the model design and the implementation of their projects.

Requirements:

Advanced quantitative skills (typically evidenced by a degree in maths, physics, computer science, engineering, etc.)
Excellence in applied programming skills - Python, C, C++ or other major languages.
Knowledge of financial mathematics and stochastic calculus.
Understanding of Fixed Income products and derivatives.
Experience in creating and validating pricing and/or risk models for use in a financial services organisation.