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DATE ADDED: Tue 10/12/2019

LIBOR Transition Quantitative Analyst

London, UK
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COMPANY: ITS-CITY LTD

JOB TYPE: Permanent, FullTime

SALARY: Competitive

To join this Front Office Quantitative Analytics team you will possess a minimum of 3 years commercial experience in a similar work environment. You possess key Yield Curve Modelling expertise, Linear Rates, you will develeop new RFR yield curves and support the new changes to the calibration of the  engine. You will develop the XVA PFE analytics library in support of the LIBOR transion to the RFR indices. You will actively engage with key stakeholders in Model validation and IT throughout this challenging project.You possess key C++ Coding expertise coupled with excellent quantitative finance  knowledge. Any XVA experience would be advantageous along with GPU CUDA. 

This candidate will also work on Bermudan Swaps and will play a pivotal role in reducing the Bank's legacy Exposure. 

All candidates must possess the minimum of a Masters (or equivalent) and ideally a PhD ( or equivalent) in a Quantitative discipline with solid English communication skills 

You possess 2 too 7 yrs experience.

My Client is seeking a very strong candidate who can begin work at a months notice on this large scale exciting project.

To apply submit your CV to Ben Baxter

ben@its-city.com

Tel 0203 176 6647

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