IBOR Model Validation Quant Analyst
Model Validation team currently have 3 Quant roles at a leading Investment Bank. You will validate linear Rates IR models following Front Office, latest Curve Construction Project, due to the LIBOR Transition Programme. You possess solid C++ or Python Coding expertise and ideally exposure on OIS Discounting and general Vanilla products. The scope of work being done is at the leading edge of research and you will work amongst the brightest and ambitious Quantitative Analysts in the city.
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 3 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 Ben Baxter on:
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