Quantitative Analyst, C++, Python, XVA, Fixed Income

Working with a leading global bank to secure the services of a Quantitative Analyst to join the team based in London.

The individual would provide quantitative support to Product Control (both Core and Valuations) in all areas of Fixed Income derivatives, work on addressing model findings and deficiencies, and will work closely with Risk divisions (such as Independent Model Review) and the Front Office quantitative/trading teams.

Responsibilities:

• Development/enhancement of methodologies and infrastructure within Fair Value Adjustments space.
• Contribution to the Analytics C++ Library and use of Python to develop new ML-based tools
• Participate and present in regular stakeholder (Product Control, Development team, Market Risk, Front Office) catch up sessions to keep up to date with ongoing projects and deliverables.

Education:

• Masters or PhD degree in Quantitative Finance or in a numerical subject (Maths, Physics, Engineering)

Key skills:

• Strong analytical and problem solving skills
• C++ proficiency, familiarity with SQL and source control
• Knowledge of financial products (Rates, Credit, FX, Equities) and their derivatives
• Familiarity with Valuation Adjustments (XVA), Funding and Liquidity is an advantage
• Familiarity with Python is an advantage