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:
  • 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.