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Lead Quant (Rates)

  • Location: Paris / London
  • Salary: 70.000€ - 100.000€
  • Job type: Permanent
  • Job reference: 172236
  • Sector: Market Risk, Quant Analytics
Job Description

Great opportunity to join an international consultancy firm currently looking to hire Lead Quants with specialisms in rates models and counterparty Risk and CVA methodologies for a final end client who is a major player in the financial services and investment banking sector. The quants can be equally based in London or Paris. 

 

Duties

  • Development of new models, enhancement/improvement, maintenance of existing models
  • Support the bank’s business activities and regulatory mandates
  • Work with pricing models across different asset classes (inc. Rates models and Counterparty Risk and CVA methodologies)
  • Work on yield curves for swaps and bond pricing, multi-curve environment comprising cross currency curves and cheapest-to-deliver curves

 

Skills

  •  PhD – Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline
  • Masters in Financial Engineering (MFE) with relevant experience can also apply
  • Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.
  • Good exposure to pricing models for interest rates derivatives including exotic and structured and hybrid products (i.e. Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.)
  • Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial
  • Expert level programming skills in C++. 
 

For further information and applying, get in touch with msm@barclaysimpson.com / 0044 2079368975

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