Interest Rate Quant Analyst - City - £650 per day - 6Months
Montash have been engaged by a global investment bank, who are looking to engage with a Quant Analyst specialising in interest rates based in the City for an initial 6 month contract, for a project that will last 2 years.
The Quantitative Research team is tasked to build along with the Global Markets IT a new architecture to streamline and harmonize the pricing, risk and P&L chain for interest rate, FX and credit flow products. This is a unique opportunity to work on a major re-engineering plan with very ambitious targets and requires a significant number of experts to work together and deliver this new platform
Role Responsibilities for the Quant Analyst:
- Keep up to date with evolution of our pricing models, understand the associated risk factors and adapt Risk and P&L Explain calculation accordingly
- Take ownership of analytics used in the existing FO Rate risk and P&L explain platform and drive their evolution and permanent improvement
- Define and implement evolution roadmap for the platform from the current architecture toward target one
- Increase coverage of the platform and help roll it out to users not yet on-boarded (typically in regions)
- Generally work in collaboration with IT to ensure high level of availability of the platform
- Assist traders when they require expert inputs to help them understand their P&L and risks
Essential skills for the Quant Analyst:
- Strong knowledge of fixed income flow products
- Extensive experience with C#
- MVVM Architecture
- Participation in large scale projects
- Object oriented programming
- Comfortable with large scale libraries and working with different profiles (quants, IT etc.)
- Ability to propose new design patterns and architectures with a strong emphasis on clean and ordered code with a focus on industrialization.
- Prior experience in front office Quantitative research is mandatory
If you are interested please give me a call or email on 0207 014 0231 or Ashleya@montash.com this role is urgent and interviews can be arranged for early next week.