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Credit and Rates Quantitative Researcher

  • Job type: Permanent
  • Location: City of London, London
  • Salary: Negotiable
  • Job reference: 422713/001_1554139968
  • Sector: Selby Jennings, Quantitative Finance
  • Date posted: 01/04/2019

A global French investment bank are seeking an individual to join their Credit and Rates Quantitative Research team, based in London. Your primary responsibility will be the maintenance and improvement of the Standard Initial Margin Model (SIMM) and the validation of the Front Office's pricing models for OTC derivatives. The role would offer broad exposure to a wide variety of teams and senior stakeholders throughout the bank, as well as offering quick opportunities for career progression within a growing team. Primary responsibilities will include:

  • Maintenance and upgrade of the Initial Margin Model proposed by ISDA for the computation of OTC derivatives.

  • Development, maintenance and validation of the FO's pricing models.

  • Innovative approach to modelling and numerical pricing techniques.

  • Support of the local trading desks.

  • Models, methods and product implementation in the QR library.

  • Synthesis of local trading and structuring needs.

Essential skills/experience

  • 1-5 years experience in the Credit/Rates space
  • Strong knowledge of numerical methods: Monte Carlo, Algorithm optimisation etc.

  • Previous exposure to SIMM and XVA.

  • Strong programming ability (Python, MatLab, Java, C++ etc.).

  • Able to learn new technologies/techniques quickly.

  • Good verbal and written communication.

  • An M.Sc in a relevant quantitative discipline.

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