Credit Quant- Financial Services
other jobs Robert Walters
Added before 2 Days
- England,London,City of London
- Full Time, Permanent
- £140,000 - £150,000 per annum
Job Description:
Vice President - Credit Quant
A global investment bank is looking to hire a Non-Linear Credit Quant to sit with the front office and take ownership of pricing and risk models for the credit trading business.
Vice President - Non-Linear Credit Quant
London
A leading global investment bank is looking to hire an experienced Non-Linear Credit Quantitative Developer to sit with the front office and take ownership of pricing and risk models for the credit trading business. This is a hands-on role working very closely with traders, structurers, XVA and risk, focused on building and industrialising models in a shared analytics library.
The role You will:
* Design, implement and maintain pricing and risk models for non-linear credit products, including single-name CDS and options, index CDS and options, index tranches and bespoke structured credit notes.
* Enhance and extend the front-office analytics library (primarily in C++ and Python), ensuring robust implementation, numerical stability, performance and test coverage.
* Contribute to default-intensity, copula and portfolio-credit models used for complex payoffs, as well as curve construction and calibration for credit and related markets.
* Collaborate daily with trading, XVA, risk, model validation and technology to deliver new functionality, resolve model issues and support new product initiatives.
* Participate in the full model lifecycle: specification, prototyping, implementation, testing, documentation and production roll-out, including regression testing and continuous integration.
What we’re looking for We are looking for someone who:
* Has substantial front-office experience (typically 7-12+ years) as a quantitative analyst or quantitative developer supporting derivatives trading desks.
* Has strong expertise in at least one non-linear asset class (credit, structured credit, or closely related exotics such as equity/rates exotics) and is comfortable working with complex payoffs and risk profiles.
* Is highly proficient in modern C++ for production-grade library development, with solid Python skills for prototyping, testing, analysis and tooling.
* Has a solid understanding of credit products and models: CDS, credit indices, index tranches, portfolio credit models (e.g. copulas), default-intensity models, credit curve construction and calibration.
If you meet the above set criteria, please apply or send a copy of your CV to .
Robert Walters Operations Limited is an employment business and employment agency and welcomes applications from all candidates
A global investment bank is looking to hire a Non-Linear Credit Quant to sit with the front office and take ownership of pricing and risk models for the credit trading business.
Vice President - Non-Linear Credit Quant
London
A leading global investment bank is looking to hire an experienced Non-Linear Credit Quantitative Developer to sit with the front office and take ownership of pricing and risk models for the credit trading business. This is a hands-on role working very closely with traders, structurers, XVA and risk, focused on building and industrialising models in a shared analytics library.
The role You will:
* Design, implement and maintain pricing and risk models for non-linear credit products, including single-name CDS and options, index CDS and options, index tranches and bespoke structured credit notes.
* Enhance and extend the front-office analytics library (primarily in C++ and Python), ensuring robust implementation, numerical stability, performance and test coverage.
* Contribute to default-intensity, copula and portfolio-credit models used for complex payoffs, as well as curve construction and calibration for credit and related markets.
* Collaborate daily with trading, XVA, risk, model validation and technology to deliver new functionality, resolve model issues and support new product initiatives.
* Participate in the full model lifecycle: specification, prototyping, implementation, testing, documentation and production roll-out, including regression testing and continuous integration.
What we’re looking for We are looking for someone who:
* Has substantial front-office experience (typically 7-12+ years) as a quantitative analyst or quantitative developer supporting derivatives trading desks.
* Has strong expertise in at least one non-linear asset class (credit, structured credit, or closely related exotics such as equity/rates exotics) and is comfortable working with complex payoffs and risk profiles.
* Is highly proficient in modern C++ for production-grade library development, with solid Python skills for prototyping, testing, analysis and tooling.
* Has a solid understanding of credit products and models: CDS, credit indices, index tranches, portfolio credit models (e.g. copulas), default-intensity models, credit curve construction and calibration.
If you meet the above set criteria, please apply or send a copy of your CV to .
Robert Walters Operations Limited is an employment business and employment agency and welcomes applications from all candidates
Job number 3388110
Increase your exposure to recruiters with ProJobs
Thousands of recruiters are looking for you in the Job Master profile database, increase your exposure 4 times with a ProJob subscription
You can cancel your subscription at any time.
metapel
Company Details:
Robert Walters
Operating across five continents, with offices in over 30 countries, Robert Walters is a world-leading global specialist recruitment consultancy. With...