09 Oct
Millar Associates
London
Job description
C Posted byRecruiterOur client, a leading Investment Bank, seeks to hire a VP Quant Analyst to join its expanding Front Office Quant team in London.
With a solid background as a Fixed Ie Quant (Front Office or Modal Val), you will provide modelling & pricing ( Swaps, Curves, etc.
building tools & applications and developing the quant model library in C++ & C#. You will also assist Traders with Quant solutions and also provide quantitative solutions to the wider firm as per business needs.
KEY RESPONSIBILITES :
- Contribute to the development of in-house quant solution, with focus on pricing, risk, model calibration and market data
- Assist in the extension of the pricing library toply with the Model Risk frameworks.
- Improve tools used by traders.
- Analyze desk sensitivities (risks) and attribution of PnL, implementing changes in libraries and tools.
- Improve the internal market data model for certain data types, for example CDS spreads.
- Contribute to the effort to remove unused features from internal libraries and tools.
- Contribute to documentation and validation of model
ESSENTIALS SKILL, EXPERIENCE
- At least 4 yrs+ as FO Quant or in Model validation.
- Good understanding of IR derivatives (swap with multi-urve, swaptions with skew), vanilla derivatives in one other asset class
- Strong quant development skills in C# or C++.
- Contributed to production code used for valuation or risk engine for PnL & sensitivities
- IR curve bootstrapping expertise : choice of interpolation, choice of instruments, curve hierarchy, etc.
- Good understanding of risk profiles of Xccy swaps, vanilla options.
- Experience in changing valuation Monte Carlo,
PDE, tree or numerical integration
- PhD or Masters in a Scientific Discipline
Hybrid working - 3 days in Office)
Job ID FOVIR-0107
▶️ Front Office Vanilla Interest Rate Quant (VP), London
🖊️ Millar Associates
📍 London