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
