Vacancy detail

Interest Rates Quantitative Analyst –VP.

Location: United Kingdom (London, City of) Type: Permanent Start date: 04/07/2017

Interest Rates Quantitative Analyst –VP.

London

 

 

My client, a top-tier American investment bank, is aggressively expanding the rates desk and seeks a VP level quant with rates/hybrids experience to join the front office team.

This hire will share in a balanced mixture of responsibilities, including model research and development, pricing and risk investigation, discussions with the trading desk, and software development.

Core Responsibilities:

  • Develop models and implement them in software for pricing and risk managing derivative
  • Develop pricing and calibration tools
  • Benchmark and compare results of various techniques
  • Implement products using pricing engines and models
  • Explain model behavior and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance / debug analytic
  • Rapid prototyping of models and products

Essential skills, experience and qualifications:

  • Excellence in probability theory, stochastic processes, partial differential equations and numerical analysis
  • Very strong analytical and problem solving abilities
  • C/C++ coding with emphasis on numerical methods
  • Good communication skills
  • Degree level in Mathematics or equivalent  

Desirable skills/experience:

  • Python

 

For more information, contact Cameron Marett at Cameron.Marett@AnsonMcCade.com or 0207 780 6700

Reference: AMC/CMA8. To apply for this vacancy: email Cameron Marett

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