Flow Credit Quant (VP), London Flow Credit Quant (VP), London …

Millar Associates
in London, England, United Kingdom
Permanent, Full time
Last application, 06 Jul 20
To £140k Base + FO Bonus, Benefits
Millar Associates
in London, England, United Kingdom
Permanent, Full time
Last application, 06 Jul 20
To £140k Base + FO Bonus, Benefits
Posted by:
Posted by:
Recruiter
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

KEY RESPONSIBILITIES:

  • 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
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