Quantitative Analyst
il y a 5 jours
Job Summary
Millar Associates is seeking a highly skilled Quantitative Analyst - Front Office to join our team in Paris. As a key member of our front office quant team, you will be responsible for providing high-quality investment and risk management solutions to our clients.
Key Responsibilities
- Work closely with trading desks and liaise with risk, finance, and IT teams to formalize the needs of traders and financial engineers in terms of valuation, hedging, and risk.
- Design, develop, and test models in an object-oriented language (mainly C++) and work on trading tools to ensure high-quality standards for calculation libraries in terms of performance and stability.
- Awareness of regulatory subjects and ability to interact with the risk department.
Essential Skills and Experience
- 6-12 years of quantitative modeling skills with risk-neutral pricing, hedging, etc. gained preferably in the front office but we'll also consider model validation.
- Strong expertise in at least one area: rates, FX options, credit.
- Exotic rates: spread options, mid-curves, FVA, auto-call, TARN, callables.
- Linear rates: yield curves, Xccy swaps, skew, inflation, CDS, goves, interest rates repo FX options: LSV, barriers, FX-IR hybrids, forwards, swaps.
- Credit: CDS, CLNs, TRS, index options, CMS, rates-FX-credit hybrids, index options, first-to-default, index & bespoke tranches, DCLNs, long dated callables.
- Excellent coding skills in a big library environment, close to trading (C++ or C#).
- Good proven awareness of regulatory subjects and ability to interact with the risk department.
- Great communication skills and fluent in English.
- Excellent academic qualifications including Masters or PhD in a quantitative discipline from a top-tier institution.
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