Quantitative Analyst, Interest Rates recruitment
You should have 3+ years similar experience that covers Pricing Models for Interest Rate cash and derivative products, Hybrids, Structured Rates etc. You should understand rates products and how they are traded on the market.
The client expects you to be able to review from valuation side the new model/product combination as well as develop valuation methodologies.This requires combined knowledge of Interest Rate term structure models (their usage and limitation, etc), IR exotic products (their risk profile and pricing) and market (how products are traded/quoted, and existance of market basis between different products, e.g. CMS swap and Swaption). With the first two being most important.
VBA, Matlab, functional C/C++ would be an advantage
You are likely to come from Valuations or perhaps Model Validation or Front-Office background.
The client is undertaking a multi £m project of change within valuations in response to market conditions, to bring it closer to the business
You will be given the chance to have influence and define your role within the team. You will be tasked with the development of new models methodologies, fair value principles and term structure models
Contact I.T.S City
To talk directly with us to discuss this vacancy and the client, please contact Gary Williams on:
Email: gary@its-city.com
Direct Line: +44 (0) 203 283 4097