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DATE ADDED: Fri 15/05/2020

Lead Interest Rates Curves Construction Quant, (Director), London

London, UK
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COMPANY: MILLAR ASSOCIATES

JOB TYPE: Permanent, FullTime

SALARY: £££ Excellent Package including Front Office Bonus

Multi-curve Frameworks for Interest Rate & FX & Commodities markets

KEY RESPONSIBILITIES:

  • Lead the build-out of the interest-rate and FX curve framework
  • Develop, implement and test Interest-Rate curve models
  • Work with stakeholders across business, technology and risk oversight areas.
  • Work with quants & traders across , Rates/FX, Commodities, Equity & Cross Asset Trading

KEY SKILLS AND EXPERIENCE:

  • 5 to 10 years' experience as a Quant with experience of the major curves, Dollar, Euro, Sterling
  • Have led the build-out of the interest-rate & FX curve framework at a leading bank
  • Expert in financial engineering, with demonstrated ability to manage and deliver
  • Expert in C++ and development with managed Pricing libraries
  • PhD in Maths, Computing or related scientific discipline
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