Front Office FX Quantitative Analyst - Director
- London, England, United Kingdom
- Permanent, Full time
- Selby Jennings UK
- 21 Dec 18
A top tier investment bank is looking to add a Director-level, front-office quantitative analyst to join their macro quant team in London. This trader-facing position will involve work developing, enhancing the bank's rates/FX analytics library, focusing specifically on flow models.
To apply for this opportunity, you will require extensive experience as a front office quant analyst, preferably with experience in developing pricing models and tools for rates/FX derivatives. You will also require an in-depth knowledge of C++ as well as a graduate degree (MSc or PhD) in a quantitative discipline from an accredited university. Strong skills in leadership and communication will be beneficial.
Develop models and methodologies for the pricing, valuation and risk for interest rates and FX flow products.
Provide support the rates and FX flow trading desks.
Implement the models and methodologies in Barclays' analytics libraries in C++, Python and Excel.
Develop tests and procedures for the models and methodologies.
Write documentation for the models and methodologies including the estimation and calibration procedures.
Post-graduate qualification (MSc or PhD) in Mathematics, Statistics, Engineering, Quantitative Finance or another quantitative field.
8 years+ experience in a front office rates quant position (interest rate derivatives pricing, interest rate curves and vol calibration).
High degree of proficiency in C++ and Python
Strong skills in leadership and communication