We are looking for an Interest Rates Quant.
Interest Rates Quant - Assoc/VP level
- Maintain the in-house multi-asset class pricing and risk library used across the bank, for all types of products, including flow, vanilla and exotics.
- Improve existing and implement new models for the pricing and risk management of interest rates products.
- Produce analytics documentation and test material.
- Provide day-to-day support for all relevant business units.
- Strong academic qualifications in a quantitative subject (e.g. Financial Mathematics).
- Experience in interest rates modelling.
- Good C++ programming.
- Knowledge of functional programming (e.g. Haskell) is a plus.
- Good knowledge of numerical methods, stochastic calculus and probability.
- Good communication skills (verbal and written English).