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Associate Director Credit Derivatives Quantitative Analyst, London, Circa: £170,000 + Generous Benefits + Bonus
This leading European Investment Bank is looking to expand its Fixed Income Credit library with the acquisition of a highly experienced Quantitative Modeller.
You will ideally have some experience modelling derivatives and fixed-income products, however you may also come from more of a pure CDO, ABS and Credit Hybrids background. This role will require a very high level of mathematical finance ability including the creation of complex derivative pricing models using high end mathematical modelling such as Stochastic Calculus, advanced PDE's, Stochastic Volatility etc.
Responsibilities of Director level Cross Asset Model Validation role:
-Developing and creating new models for distressed structured credit products, which may include; CDOs of ABS, CLOs, Credit Derivatives (Tranches, Options), Asset Back Security (ABS) Products, ABS and Leveraged Loans Indexes, Other Structured Credit Products.
-Designing and implementing models to support Credit trading and working very closely with the desk.
-Developing pricing models and building up the C++ library in order to integrate with the banks advanced trading systems.
-Help lead a team of highly technical PhD Quants and IT support to create a highly efficient business unit.
Ideal background of the successful candidate:
-Experience of developing models for credit derivatives and fixed-income products within a financial institution,
-Extensive liaison with other business and control functions to ensure a coordinated, integrated approach is delivered to the trading desk, as required,
-Strong analytical skills with a good judgement (market fluctuations, people),
-Exceptional academic background with a PhD or a Masters degree from a top University in a highly mathematical subject,
-Expert level stochastic calculus, PDE, ODE, Brownian Motion, Monte Carlo Simulations, Finite Difference Methods etc,
-Large amounts of financial reading,
-Strong programming skills in VBA and C++.
The person:
-Excellent communication/interpersonal skills; must demonstrate initiative and be able to make quick decisions; inspire and motivate and successfully lead a team of junior quant analysts.
To apply for this position please contact us by submitting your CV in word format by mail or alternatively phone us on 00 44 207 019 4137.
Key words: Quantitative; Model Validation; Credit Derivatives; Exotic; Vanilla; Collateralized debt obligations; Collateralized loan obligations; Asset Back Securities; Europe; London; Managing Director; Model Validation; Risk.
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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