Front Office Quant, eRates/Swaps Trading (VP / Dir) Copenhagen

  • €€€ Excellent Package, Good Benefits, Great Work/Life Balance
  • Copenhagen, Hovedstaden, Denmark
  • Permanent, Full time
  • Millar Associates
  • 18 Feb 18 2018-02-18

The Front Office Quant Research Team at this top-tier bank, have asked us to identify a highly talented eRates Quant, to develop Interest Rate models for eTrading & eMarket Making for their beautiful Copenhagen HQ. You'll need a good knowldge of Liner Interest Rate products & maths (in particular Euro Swaps) together with C++ or C#, and familiarity with Python.

KEY RESPONSIBILITIES:

  • Develop & implement Interest Rate curve models for eTrading
  • Support traders across eRates Trading
  • Sit with eRates traders, understand their problems and provide solutions
  • Implement models into the common C++ Library, FO booking system
  • Ensure compliance with regulatory & compliance requirements

KEY SKILLS AND EXPERIENCE:

  • 3 to 6 years' experience with interest rate linear instruments modeling (Swaps, Listed Rates Derivatives, Caps/Floors, XCCY swaps, Bonds, etc.)
  • Experience of Algo trInterested in and willing to move to Copenhagen!ading
  • Programming in C++ or C#, familiarity with Python, etc.
  • Comfortable with large scale libraries
  • Prior experience in Front Office Quant Research is mandatory preferably gained in a global banking group
  • Hands on model implementation experience in C++ 
  • Interested in and willing to move to Copenhagen!