Contract Quant Analyst - C++ - Credit - Inside IR35

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+).
• 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