Our client, a very strong Global Investment Bank, operating across the world’s most dynamic markets and a great reputation for state of the art technology, is now looking to hire an experienced Credit Derivatives Quant Analyst to focus upon model development for credit derivative pricing models globally. Their Quant team offers a full suite of fixed income, currencies, commodities, equities and capital markets solutions. Based in the City, you’ll work with highly talented Quants and gain deep exposure to the asset class.
CDS, Index CDS, Bond Forwards, CD Swaptions, Credit-IR hybrids, Bermudan CD Swaptions, Leveraged notes
- Develop and maintain models for the pricing and risk management of credit derivative products.
- Delivery of model documentation and testing material.
- Improving and maintaining existing analytics.
- Research into alternative models and numerical techniques as well as ongoing assessment of models published in industry or academic literature.
- Provide support on quantitative issues to traders, marketers & IT
- 3-8 years’ experience developing or validating markets credit derivative pricing/risk models in an international bank
- PhD or Masters educated in a quantitative field (Physics, Maths, Financial Engineering)
- Knowledge of Credit Derivatives & Hybrids
- Good knowledge of numerical methods, stochastic calculus, & probability theory
- Good programming in both C++ and Python
- Able to explain complex ideas in a clear manner
Some of the following:
- CDS, Index CDS, Bond Forwards, CD Swaptions, Bermudan CD Swaptions, Leveraged notes
- Credit-IR hybrids (i.e. Credit-linked version of IR exotic trades, such as Callable range accrual trades)