Front Office FX Quantitative Analyst - Director

  • Negotiable
  • 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.

Key Accountabilities

  • 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.

  • Team management

Requirements

  • 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