Snr Front Office Rates Quant – Options & Flow (Director, VP) Snr Front Office Rates Quant – Options & Flow  …

Millar Associates
in New York, NY, United States
Permanent, Full time
Last application, 19 Sep 19
Exceptional Package plus Front Office bonus
Millar Associates
in New York, NY, United States
Permanent, Full time
Last application, 19 Sep 19
Exceptional Package plus Front Office bonus
An excellent Front Office Quant Analyst opportunity for an experienced quant/modeller has arisen within a leading Investment Bank in London. You will work with the trading desk deliver analytics for pricing and risk, covering IR, FX & Credit Options & Flow. This is an excellent opportunity to increase your quant modelling skills, broaden your product knowledge.

Rates / FX, Options & Flow, LIBOR

KEY RESPONSIBILITIES:

  • Implement cross asset pricing and risk quantitative analytics for the desks
  • Work with the trading desks to maximize revenue targets by delivering analytics across all asset classes
  • Work on pricing, risk engine, internal model changes and contribute to regulatory requirements
  • Maintain a global Rates library (flow & exotic products)
  • Provide support on quantitative issues to traders, marketers & IT

ESSENTIAL SKILLS & EXPERIENCE:

  • Exotics modelling experience covering Interest Rates Options products and models
  • Good knowledge also in FX Options or Hybrid Options 
  • Strong programming in C++, Python
  • Excellent analytical, communication and presentation skills
  • PhD or DEA educated in a quantitative field (Physics, Maths, Financial Engineering)

DESIRABLE:

  • Libor Decommissioning a strong plus
  • XVA knowledge an advantage
  • FRTB an advantage
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