Front Office Exotic Fixed Income Quant

Il y a 3 mois


Paris, Ile-de-France Millar Associates Temps plein

Non-linear Rates, Inflation, C++ or C#, Python


This top-tier investment bank seeks to hire a Quant Analyst to join their front office quant team in Paris. With a background in Fixed Income derivatives modelling, you will support the Global Markets platform, which offers a multi-product approach across all asset classes. Their goal is to provide quality investment and risk management solutions to asset managers, pension funds, corporates, private banks, insurers, hedge funds, family offices, sovereign wealth funds globally.


KEY RESPONSIBILITIES:

  • Work closely with the Fixed Income desks, and also Risk, Finance & IT teams
  • Formalize the needs of traders and financial engineers in terms of valuation, hedging & risk
  • Design, develop and test models in an OO language (mainly C#) and work on trading tools
  • Ensure high-quality standards for calculation libraries, in terms of performance & stability
  • Awareness of regulatory issues and able confidently to interact with the Risk department


ESSENTIAL SKILLS & EXPERIENCE:

  • 5-15 yrs' Quant modelling skills with risk-neutral pricing, hedging, etc.
  • Solid knowledge of ideally Exotic Rates products and pricing (Inflation is a nice to have)
  • (For FX, good experience in Local & Stoch Vol, Barriers, Tarfs, Forward Vol or similar)
  • Good coding skills in a big Library environment, close to trading (C# or C++)
  • Experience of a large bank with a big library, big teams, and associated type of problems
  • Good proven awareness of regulatory issues and able confidently to interact with the Risk department
  • Great communication skills and fluent in English
  • Good Masters or PhD in a quantitative discipline from a top-tier institution


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