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DATE ADDED: Wed 09/10/2019

Fixed Income/XVA Quant Analyst (VP), London

London, UK
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COMPANY: MILLAR ASSOCIATES

JOB TYPE: Permanent, FullTime

SALARY: Excellent Base plus Front Office Bonus & Benefits

Leading Investment Banking Group
Front Office Quant Research Team

KEY RESPONSIBILITIES:

  • Support the Fixed Income / XVA Trading Desk
  • Support the XVA engine, trading tools and systems
  • PnL explanation and improvement: numerical stability of pricing models,
  • Methodological model selection in terms of their use in terms & hedging strategy, for Rates, Inflation & flow & some structured products.
  • Data preparation and documentation

ESSENTIAL SKILLS & EXPERIENCE:

  • Strong front office quant modelling skills (>5/7y experience) gained preferably in a big library environment and close to trading
  • A strong background in XVA and/or hybrid fixed income, rates
  • Extensive experience of coding in an industrial quant library
  • Advanced programming skills in C++ or other OO language, & VBA
  • Python: PyCharm, Jupyter, Pandas, TensorFlow: advanced user.
  • Good mathematical finance knowledge, particularly around rates or credit models
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