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Front Office Quantitative Analyst

London, Greater London, United Kingdom, £ £ 80000.00-120000.00 Annual Annual, Permanent


My client are a leading bank Investment Bank looking for an experienced Quantitative Analyst and modeller with C++ & Python coding, to become an integral part of the team to build out and evolve the pricing library.
The successful Quantitative Analyst will join the Front Office Portfolio Quantitative Analytics team. The Quantitative Analyst and their team will provide pricing and exposure models, analytics and tools to traders and risk managers globally.

Role & Responsibilities:

Development of underlying mathematical models and tools used across FX, Fixed Income, Credit and Equities.
Design, develop, test and document the developed models to required standard.
Develop model calibration routines and market data analytics (Curve bootstrapping and interpolation)
Consolidation of curve contribution platforms between EM and FX onto the same platform, working at the front end to increase the curve coverage.
Consolidation of the in house IBOR platform to remove all dependency on IBOR an the discounting curve.
Job Requirements:

High level of proficient in C++, with Python being highly advantageous as an added skill.
Experience working in Front Office Risk Team - particularly on the development of FO Pricing Libraries.
Strong asset class experience across FX, Rates, Credit, Fixed Income or Equities , with exposure to commodities being an excellent value add - namely Precious Metals.
Knowledge of CVA, CSA Discounting, VaR, ES and other risk measures

Job Details

Not Specified
London, Greater London, United Kingdom
£ £ 80000.00-120000.00 Annual Annual