Front Office Vanilla Interest Rate Quant (VP), London

Our client, a leading Investment Bank, seeks to hire a VP Quant Analyst to join its expanding Front Office Quant team in London. With a solid background as a Fixed Income Quant (Front Office or Modal Val), you will provide modelling & pricing (e.g. Swaps, Curves, etc.), building tools & applications and developing the quant model library in C++ & C#.  You will also assist Traders with Quant solutions and also provide quantitative solutions to the wider firm as per business needs.

KEY RESPONSIBILITES:

• Contribute to the development of in-house quant solution, with focus on pricing, risk, model calibration and market data
• Assist in the extension of the pricing library to comply with the Model Risk frameworks.
• Improve tools used by traders.
• Analyze desk sensitivities (risks) and attribution of PnL, implementing changes in libraries and tools.
• Improve the internal market data model for certain data types, for example CDS spreads.
• Contribute to the effort to remove unused features from internal libraries and tools.
• Contribute to documentation and validation of model

ESSENTIALS SKILL, EXPERIENCE

• 4 yrs+ in front office or model validation.
• Good understanding of IR derivatives (swap with multi-curve, swaptions with skew), vanilla derivatives in one other asset class
• Strong quant development skills in C# or C++.
• Contributed to production code used for valuation or risk engine for PnL & sensitivities
• IR curve bootstrapping expertise: e.g. choice of interpolation, choice of instruments, curve hierarchy, etc.
• Good understanding of risk profiles of Xccy swaps, vanilla options.
• Experience in changing valuation Monte Carlo, PDE, tree or numerical integration
• PhD or Masters in a Scientific Discipline
• (Hybrid working - 3 days in Office)