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Flow Credit Quant Analyst (VP), Large Hedge Fund & FinTech, London

Millar Associates
London, United Kingdom
£££ Excellent Package
Closing date
Feb 22, 2023

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Job Function
Industry Sector
Finance - General
Employment Type
Full Time
CDS, Bond Models, Index Options Pricing, CLNs, CMS spreads, Index, C++

  • Develop models and enhance the core Flow Credit Quant analytics library (C++) and build front office tools
  • Build out library functionality (C++) for valuation, risk, scenario, for OTC & listed derivatives
  • Provide associated risk management tools
  • Deliver analytics documentation and test materials

  • 3 years+ experience as a Quant in Flow Credit including CDS, Bonds, CLNs, CMS spreads, Index, etc.
  • PhD or Masters in a quantitative discipline
  • Excellent C++ skills, into a managed pricing library. Also Python, SQL, etc.
  • Strong skills in communicating with external clients/Portfolio Managers, as well as internal (risk, IT, etc.)
  • Passion for credit and rates markets and modelling
  • Index options pricing. understanding the expected behaviour of such models
  • Good understanding of bond basis models
  • Familiar with: Stochastic correlation, Callable bond modelling, Index basis vol, etc.

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