Senior Credit Quantitative Analyst

il y a 2 jours


Paris, Île-de-France Millar Associates Temps plein
Senior Credit Quantitative Analyst

Millar Associates is seeking a highly skilled Senior Credit Quantitative Analyst to join our team in Paris. As a key member of our Quant Research group, you will be responsible for developing advanced analytics for credit cash and derivative products, as well as associated analysis tools to meet the needs of our Traders & Risk Managers.

Key Responsibilities:
  • Develop and enhance our core Credit Quant analytics library (C++) and build front office tools
  • Build out library functionality (C++) for valuation, risk, and scenario analysis for OTC & listed derivatives
  • Develop models used for pricing and risk management, including PnL Explain & Capital Charges tools
  • Support the Sales & Trading desk by providing them with quantitative tools
  • Mentor and help manage junior members of the team
  • Provide associated risk management tools
  • Deliver analytics documentation and test materials
Requirements:
  • 5+ years of experience as a Credit Quant covering areas such as CDS, Bonds, CLNs, Repack Swaps & Notes, CMS spreads, Convertibles, Loans, Structured Credit, Credit Index Options, Quanto CDS, etc.
  • Excellent modern C++ skills, with experience in a managed pricing library. Also Python, SQL, etc.
  • Strong communication skills with traders, stakeholders, risk, and IT teams
  • Passion for credit, markets, and modeling
  • Good understanding of Bond basis models, CMS Rate & Forward Swap Rates, and Rates sensitivity of a CDS
  • Familiarity with Stochastic correlation, Callable bond modeling, and FRTB
  • PhD or Masters in a quantitative discipline

Millar Associates is a top-tier global investment bank with a strong presence in Paris. We offer a competitive salary and benefits package, as well as opportunities for professional growth and development.



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