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Quant Consultant/Developer

Job LocationLondon
EducationNot Mentioned
Salary£700.00 - £750.00 per day
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypeContract, full-time

Job Description

Job DescriptionKEY RESPONSIBILITIES:* Support flow quantitative models, analytics libraries and tools.* Implementing the XVA, funding, Liquidity, Capital, Margining and other FO regulatory models and libraries.* Support of Flow trading desks on pricing and hedging of flow products* Development of models used for pricing and risk management, including PL Explain and capital* Supporting the clients Sales and the desk strategists by providing them with quantitative toolsKEY SKILLS AND EXPERIENCE:* Flow Credit knowledge, e.g., CDS, Bonds, CLNs, repack Swaps & similar, CMS spread* Modelling knowledge, e.g. HW Model + local FX vol, smile, skew* Bond-CDS basis in risks decomposition* Experience in a quant team and coding in C++/C#/python, modelling & systems* Data manipulation and database experience (SQL preferred)* Strong communication skills to liaise with Quants, IT and Managers

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