The global Quant Research group at this Tier-1 Investment Bank is seeking an experienced Quantitative Analyst for the Credit trading desk to develop and implement Flow Credit models for its global fixed income trading group. With a minimum of 3-6 years in quant finance, quant development, trading environments, this is a great opportunity to work with traders & quantitative peers in developing a range of Credit products in a tier-1 banking group.
Top-tier Investment Bank
Flow Credit, e.g. CDS, Bonds, CLNs, Index, Swaps, etc. XVA
- Support flow quantitative models, analytics libraries and tools.
- Implementing the XVA, funding, Liquidity, Capital, Margining and other FO regulatory models and libraries.
- Support of Flow trading desks on pricing and hedging of flow products
- Development of models used for pricing and risk management, including PL Explain and capital
- charges Tools
- Supporting the Sales and the desk strategists by providing them with quantitative tools
- Mentor and help managing the junior members of the team
KEY SKILLS AND EXPERIENCE:
- Flow Credit knowledge, e.g., CDS, Bonds, CLNs, repack Swaps & similar, CMS spread
- Modelling knowledge, e.g. HW Model + local FX vol, smile, skew
- Bond-CDS basis in risks decomposition
- Experience in a quant team and coding in C++/C#/python, modelling & systems
- Data manipulation and database experience (SQL preferred)
- Strong communication skills to liaise with Quants, IT and Managers