Fixed Income Quantitative Specialist

  • GBP75000 - GBP100000 per annum
  • London, England, United Kingdom
  • Permanent, Full time
  • Michael Page
  • 22 Sep 17

The role sits within the quantitative analytics team and will be involved in the development and maintenance of fixed income pricing and risk models

Fintech Company

Description

Development of fixed income related pricing models

Development of fixed income related risk models

Leading portfolio analytics and modelling work for the business

Programming work using C++ (11/14)

Profile

Financial markets experience in trading, risk-management or portfolio-management - specifically with fixed income; practical understanding of credit, inflation and equity markets an advantage

Deep understanding and experience of implementing pricing and risk models for a wide-range of fixed income products and derivatives

Excellent analytical skills, stochastic calculus, PDEs, Monte Carlo, statistics, numerical algorithms

Exercise sound judgement in reviewing strengths and weaknesses of modelling approaches

Strong computing skills and experience delivering production-ready code: object oriented programming, unit testing; C++ experience required

Experience of yield curves construction an advantage

Familiarity of fixed income benchmarks an advantage

Knowledge of fixed income performance attribution methodologies an advantage

MSc / PhD in a Mathematics or Engineering related degree preferred

Job Offer

Competitive salary and benefits package - Permanent role