FO Quantitative Analyst

A well established Investment Bank based in London is currently looking to hire multiple headcount within their Global Markets division, across various seniority levels focused on Front Office Model Development and Calibration in C++.

The hires will be spread across two main product classes (FX and Global Debt Markets), where key projects will come off the back of FRTB and IBOR.

Key duties in the FO Quantitative Analyst role will include:

• 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.

A successful application in the FO Quantitative Analyst will include:

• 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.

Should you meet the requirements, please click to apply!