Snr Hybrid Fixed Income Desk Quant, (VP/Dir)

  • Circa £230K Package
  • London, England, United Kingdom
  • Permanent, Full time
  • Millar Associates
  • 15 Nov 17 2017-11-15

The global Quant Research group at this leading Investment Bank develops models to price and hedge derivatives & hybrid products. We seek an experienced structured hybrid (rates / credit / structured notes / repacks) quant to develop and implement models for pricing & hedging and regulatory risk measures in for fixed income trading. With a minimum of 4-5 years in quant finance, IT development, trading environments, you should be comfortable working with talented traders & quants in developing a range Structured Rates & Credit products.

Structured Notes, Repacks, Etc 

KEY RESPONSIBILITIES:

  • Design and proper documentation of mathematical models adequately reflecting business and regulatory requests, commercial and legal documentation (term-sheets)
  • Communication with traders and structuring team
  • Implementation of mathematical models within a production analytic library and IT infrastructure in form of production-quality C++ code
  • Support , releasing, maintenance and integration of the library.

KEY SKILLS AND EXPERIENCE:

  • Solid background in stochastics, probability, numerical analysis
  • PhD in Math. Physics, Engineering or similar desirable, but not essential
  • Knowledge of main instruments in Fixed Income and Credit
  • Specifically, CDS, Bonds, CLN, repack swaps and similar instruments, CVA, CSA discounting (Range accruals, CMS spreads, Index tranch pricing, etc.)
  • Understanding of VaR, ES and similar regulatory risk measures
  • Strong C++ is essential: - Design patterns, Templates, Polymorphism. STL, Boost, scientific libraries (preferably NAG). VS and GCC compilers, debugging tools and strategies
  • Knowledge of Windows and UNIX, version control systems the development process
  • Knowledge of distributed computing and serialisation techniques (MPI Grids)

KEY RESPONSIBILITIES:

  • Knowledge of distributed computing and serialisation techniques is strongly desirable
  • At least one scripting language: e.g. Python, Perl, Shell Script, C#, Java, VBA. Good knowledge of Excel. EXCEL OPEN interface