Contract Quant Analyst - C++ - Fixed Income - Credit - Inside IR35
An investment bank in Canary Wharf is looking for a Contract Quant Analyst strong in C++ and credit products.
Role Description
* The role will require development of the underlying mathematical models and analytical tools used by the Credit desk
* To design, develop, test and document the models developed to company standards
* Develop technical solutions for the desk as required
* To provide rapid fixes to any issues identified in the models
* To develop model calibration routines and market data analytics (such as curve bootstrapping and interpolation)
Certifications, Qualifications and Experience:
* 3-8 years working as a Quantitative Analyst developing models in quantitative finance
* A degree in mathematical finance, science or maths from a top tier university
* Knowledge of the standard pricing models used in the investment banking industry (Black-Scholes, Bachelier, local and stochastic volatility models, HJM framework…).
* C++ experience (preferably using Visual Studio), with some knowledge of modern C++ (at least C++11).
* Familiarity with Credit Products and Models
Knowledge, Skills & Experience
* Solid background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required
* Strong C++ skills
* Strong knowledge of Excel
* Strong knowledge of Python
* Experience with version control systems (such as Git) and distributed software development process
* Ability to work in fast-paced environment, with proven ability to handle multiple outputs at one time
* Open minded and team spirit oriented
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