Flow Credit Quant Analyst (VP), Large Hedge Fund & FinTech, London
5 days left
- Recruiter
- Millar Associates
- Location
- London, United Kingdom
- Salary
- £££ Excellent Package
- Posted
- 05 Jan 2023
- Closes
- 04 Feb 2023
- Ref
- 18360835
- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
CDS, Bonds, CLNs, CMS spreads, Index, C++
RESPONSIBILITIES:
KEY SKILLS & EXPERIENCE:
RESPONSIBILITIES:
- Develop models and enhance the core FX Quant analytics library (C++) and build front office tools
- Build out library functionality (C++) for valuation, risk, scenario, for OTC & listed derivatives
- Provide associated risk management tools
- Deliver analytics documentation and test materials
KEY SKILLS & EXPERIENCE:
- 3 years+ experience as a Quant in Flow Credit including CDS, Bonds, CLNs, CMS spreads, Index, etc.
- PhD or Masters in a quantitative discipline
- Excellent C++ skills, into a managed pricing library. Also Python, SQL, etc.
- Strong skills in communicating with external clients/Portfolio Managers, as well as internal (risk, IT, etc.)
- Passion for credit and rates markets and modelling as well as an understanding of how traditional fixed income managers manage their risk.
- Familiar with: Stochastic correlation, Callable bond modelling, Index basis vol, etc.