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Interest Rate Quant Analyst - City - £650 per day - 6Months

  • Location

    London, England

  • Sector:

    Information Technology

  • Job type:


  • Salary:

    £650 - £651 per day

  • Contact:

    Ashley Andrews

  • Contact email:

  • Salary high:


  • Salary low:


  • Job ref:


  • Published:

    over 1 year ago

  • Duration:

    6 months

  • Expiry date:


  • Startdate:


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 this role is urgent and interviews can be arranged for early next week.