Front Office Credit Derivatives Quant

 

The role is positioned in the Front Office and entirely within the trading floor. You will have close interaction with traders, structures and risk managers and have a substantial role in the further development of the credit derivatives business unit.

Responsibilities:

- Development and analysis of models used for the pricing and hedging of credit derivatives.

- Interaction with trading, sales and structuring areas in order to assess the corresponding business unit modelling needs.

- Research of new models available in the financial modelling literature.

- Design of suitable numerical schemes.

Requirements:

-Ideally a degree in a mathematical or scientific subject (PhD/MSc preferred but not essential).

- Experience working in a quantitative role in finance as well as exposure to a front office quantitative group within a leading institution (preferably in credit / interest rates) would be desirable, although strong candidates with experience in any other underlying assets or in non front office environments (risk units) could be considered.

- Deep knowledge and previous experience in the following fields: stochastic calculus applied to finance, derivatives valuation models preferably applied to credit and credit / interest rate hybrid derivatives.

- Deep knowledge and previous experience in numerical methods applied to finance: trees, numerical methods to solve PDEs, Montecarlo methods, Fourier techniques.

- Strong object oriented programming skills: c++, c#, vb.net.

- Strong interpersonal skills. Flexible and open minded. Team player.

- Business oriented.

- Fluent English. Spanish not required

 

 

April 8, 2013 • Tags: , • Posted in: Financial

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