Quant Analyst - Credit
Posted 1 day 7 hours ago by P2P
Permanent
Not Specified
Other
London, United Kingdom
Job Description
MAIN DUTIES/RESPONSIBILITIES OF THE ROLE:
- Responsible for building out the new cross asset quantitative analytics library for Brevan Howard, with a particular focus on credit cash and derivatives modelling
- Build out the library across additional asset classes, with new products, models, trade representations, pricing, risk, and calibration methods.
- Be comfortable communicating with and developing alongside the library clients - Portfolio managers, Strategists and the wider Risk team. Assist with gathering business requirements and working with the IT teams to assist with delivery
- Review the code from other quants on the team, with a focus on the modelling.
- Hands-on development and testing
WORK EXPERIENCE/BACKGROUND:
Essential
- 5+ years credit analytics/ derivatives modelling
- 2-5 years modern C++ (20 and up), with some experience in optimising high-performance libraries
- Excellent financial mathematics, and implementation of numerical methods
- Software lifecycle management (GitHub, Jira, etc)
Desirable
- Experience in rates modelling
- 2+ years Python or C#
- Vectorisation and AAD technologies