Our client is a top tier investment bank looking to hire an experienced interest rates quant/strat. They are already extremely strong players in this market and are looking to add to their team, working on typical rates quant work, as well as building tools for hedging and execution.
Responsibilities
- Developing and supporting the trading desks' pricing, risk management and P&L monitoring tools.
- General quantitative work, e.g., developing tools for historical time series and relative value; running scenarios; investigating new yield curve construction methods; data / trade / risk analysis; investigating P&L explain issues.
- Liaising with technology teams to manage IT deliverables relevant for the desks, e.g., electronic trading tools for auto-quoting, hedging and execution.
- Working closely with IT on testing and integrating new models.
- Liaising with control functions (Risk, Controllers) on quantitative issues pertaining to their roles, providing responses to regulator enquiries
Skills required
- Proven previous experience of interest rate products
- Advanced degree or equivalent (MSc. / PhD) in a numerate discipline, such as computer science, mathematics, engineering, physics or a similar quantitative field.
- Development skills, with a preference for Python and C++.
- Good communication skills, to converse with both traders and IT on technical and non-technical issues alike.
- Knowledge of Libor decommissioning is beneficial
- Knowledge of e-Trading systems is advantageous
- Excellent interpersonal and communication skills, being effective communicators with colleagues in different regions.
