CONTRACT – FLOW RATES QUANT WANTED – Next Generation Curve construction
- upto £1000 a day
- London, England, United Kingdom London England GB
- Contract, Full time
- ITS-City Ltd
- 16 Aug 18 2018-08-16
The Quant team sits within Capital Markets and is composed of highly quantitative specialists, who build models and products for the intra-day and end-of-day pricing and risk management of rates products. The team implements models in-house, mainly in C++, and ensures that those models are embedded in the strategic technology architecture of the bank. The team has close interactions with traders, risk managers, finance; it operates with a robust engineering processes and adheres to strict and high delivery standards
The team have a current vacancy for a Senior quant professional to work on a new project developing the latest generation of Curves for the interest rates business. The scope of work being done is at the leading edge of research. Ahead of the curve, other banks will be looking to implement this approach soon too.
This is a contract position, rolling on a 6 month basis, with a time frame that could mean multiple renewals.
The candidate will have constant interactions with traders, risk management and take forward development needs for the flow rates business.
Specific Skill or Knowledge
- PhD level education in a quantitative subject, with strong engineering, economics, signal processing, stochastic processes and statistical learning knowledge
- A minimum of 6 years’ experience working within an investment bank as Quantitative Analyst covering Flow Rates products developing models within the in-house quantitative library
- Strong C++ skills and experience implementing financial models within an in-house quantitative library
- Strong knowledge of Rates, pricing models, particularly yield curve building within the multi-curve framework
- You should be a good team player along with strong communication skills to enable an effective and fluent relationship with senior stakeholders across Financial Markets.
Send your CV for immediate consideration.
Contact ITS City
To talk directly with us to discuss this vacancy and the client, please contact Simon Adams on:
Direct Line: +44 (0) 203 176 6648