Rates Curves Construction Quant, (VP / Dir), NY or London

  • Up to $400K total
  • New York, NY, USA
  • Permanent, Full time
  • Millar Associates
  • 16 Oct 17 2017-10-16

The global Quant Research group at this leading Investment Bank develops models to price and hedge, flow and derivatives products. We seek an experienced Rates Curves Quant (VP or Dir), to work with talented traders & quants in developing all the major curves Dollar, Euro, Sterling, with strong C++ programming or similar skills.

KEY RESPONSIBILITIES:

  • Develop, implement and test Interest Rate curve models
  • Support traders across Rates Trading
  • Sit with Rates 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:

  • 5 to 10 years' experience as a Quant with very strong Linear Swaps experience working with the major curves, Dollar, Euro, Sterling
  • Strong C++ and development with a managed Pricing library
  • Master Degree or PhD in Financial Maths, Financial Engineering, or scientific discipline