Linear Rates Quant / Desk Strat, Macro Hedge Fund, London
- Employer
- Millar Associates
- Location
- London, United Kingdom
- Salary
- Total to £240K + Benefits
- Closing date
- Jun 23, 2023
View more
- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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Linear Products (Swaps, Bonds, etc.), Options, Curves, Pricing & Risk, Python
RESPONSIBILITIES:
ESSENTIAL SKILLS:
DESIRABLE ATTRIBUTES:
RESPONSIBILITIES:
- Contribute to the development of a new python-based curve fitting framework and pricing / risk engine
- Build front office risk management and trade finding tools.
- Build out library functionality for valuation, risk, scenario, for a wide range of cash products in G10 and EM, and listed derivatives
- Provide day to day quantitative support for the firm's portfolio managers and risk managers.
ESSENTIAL SKILLS:
- 3-10 yrs+ experience as a Quant with good knowledge of Linear Rates and curves modelling
- Minimum Master's degree in a quantitative subject (Physics, Maths, Engineering, Computer Science)
- A passion for financial markets and a willingness to engage in and learn interest rate modelling.
- Strong Python hands-on programming skill is a core requirement
- Ability to communicate with Portfolio Managers, traders, risk & the Front Office
DESIRABLE ATTRIBUTES:
- C# /Microsoft Excel experience is a plus
- Familiarity with databases and query writing
- Experience in curve calibrations including OIS discounting, collaterals and funding curves
- Experience working with Front Office
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