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    Vice President, Conflicts Management - London, United Kingdom - Top-Tier Global Investment Bank

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    Description
    Long-dated FX & Hybrids Quant (VP, Dir), London London


    Ref:
    LDFX-2002

    Leading Global Investment Bank
    FX Hybrids, PRDCs, RFR cap/floors, Baskets, Equity, C++, C#

    This global investment bank, seeks to hire a VP Quant Analyst to join a small Front Office team supporting exotic FX & Rates trading (with some Equity).

    You will be involved in multi-asset modelling & pricing of Exotic Derivatives and Hybrids and building Front Office tools & applications and developing the quant model library in C++ & C#.

    This is a great opportunity to work with some of the best quants in the industry and be directly involved with the business.


    KEY RESPONSIBILITIES:

    Engineer the improvement, extension and testing of the models and pricing & risks engines, with a particular focus on FX & Equity asset classes.

    Implement valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tool development
    Provide support to the trading desk and risk management
    Improve the client tools and be involved in next generation of tools


    ESSENTIAL SKILLS:
    Minimum of 6 years, in a FO quant role, with a strong focus on FX (Any FX/Equity Hybrids an advantage)
    Experience around quantitative challenges raised by Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback.
    Advanced development skills (C++ or C#) from implementation and support of models
    Experience in developing at least one product or model from scratch for production use.
    Experience in calibration of Stochastic & Local Volatility, or advanced structured IR model desirable
    PhD or Masters educated in a scientific field


    DESIRABLE:
    #J-18808-Ljbffr


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