• CDI, Plein-temps
  • Anson McCade
  • 2018-07-19
  • Londres, Angleterre, Royaume-Uni
  • Competitive
  • Plein-temps

Structured Credit Quant

The Credit QR team is responsible for developing and maintaining models for valuation, risk, PL calculations, as well as quoting and market making algorithms and analysis tools for the Global Spread business. The responsibilities of the team span the full range from new model specification, going through model approval, ensuring compliance with internal policies and industry regulations, implementation of model in library, to integration into risk and PL systems.

Structured Credit Quant

London based

 

The Credit QR team is responsible for developing and maintaining models for valuation, risk, PL calculations, as well as quoting and market making algorithms and analysis tools for the Global Spread business. The responsibilities of the team span the full range from new model specification, going through model approval, ensuring compliance with internal policies and industry regulations, implementation of model in library, to integration into risk and PL systems.

This opportunity is to join the London team as an associate or VP depending on experience, with a focus on pricing models, model evaluation and infrastructure for the credit derivatives business. The role is spanning all aspects of credit derivatives QR coverage, from the mathematical modelling to the development of model evaluation platforms in our risk system. Candidates directly from university will be considered.

 

Key responsibilities could include:

  • Developing models for the pricing and risk management of credit derivatives, including investigating improvements to existing models.
  • Writing model documentation compliant with internal and regulatory standards.
  • Working with model control teams to facilitate timely and efficient review and approval of models.
  • Liaising with business functions as well as other quantitative research and control teams.
  • Explaining model behaviour, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics. 

Requirements:

 

The role requires the combination of very strong software development skills, a very structured mathematical approach to problem solving, business overview, and the ability to work in a dynamic environment. Prior knowledge of quantitative modeling and risk neutral pricing is a plus, but not an absolute requirement. Excellent oral communication skills are required in our interaction with trading, technology, and control functions. Excellent written communication skills are also required for meeting the high standards of the model documentation. A strong interest in good software design principles is a requirement as well. A Ph.D. in a numerate subject from a top academic institution is a plus, but not an absolute requirement.

 

Essential skills:

  • An advanced degree in math, statistics, physics, financial engineering, computer science or other quantitative fields.
  • Exceptional analytical, quantitative and problem-solving skills.
  • Excellent written and oral communication and interpersonal skills.
  • Knowledge of fixed income markets, in particular credit products and models, is a plus, but is not a strict requirement.
  • Strong software design and development skills, preferably with some C++ and Python knowledge and experience.

If you are interested in this position and would like to know more please send your CV to: Bradley.Tyler@AnsonMcCade.com

 

Londres, Angleterre, Royaume-Uni Londres Angleterre GB