VP, Fixed Income - Rates, Inflation & Credit

Lead the design, development and enhancement of Pricing & Risk management models for interest rate, credit, or inflation derivatives
Define modelling frameworks and numerical techniques for pricing and risk management
Assess model risk, calibration methodologies, and sensitivity frameworks
Act as the primary quantitative partner for London Trading and Structuring desks
Evaluate new product proposals and analyze model gaps
Prioritize model developments according to business strategy
Coordinate with Quantitative Development and Engineering teams on production implementation, scalability, performance, and platform consistency
Integrate models into testing and validation frameworks
Participate in model governance and risk approval processes
Prepare technical documentation and present models to internal risk committees
Engage with Model Risk Management and Internal Validation teams
Support regulatory and audit requirements related to model risk
Support trading desks with pricing discrepancies, calibration issues, hedging metrics, and risk explanations
Contribute to the strategic development of the cross-asset XVA framework
Mentor junior quants and contribute to the technical evolution of the team

Requirements

• Relevant experience in a Front Office Quant role within Global Markets
• Strong exposure to Fixed Income
• Deep expertise in Interest Rate modelling, including multi-curve frameworks and stochastic volatility models
• Strong knowledge of Credit and Inflation derivatives valuation
• Solid understanding of model calibration techniques and numerical methods, including Monte Carlo, PDE, lattice methods, and adjoint differentiation methods
• Strong programming skills in C++, including object-oriented design, STL, and performance considerations
• Good knowledge of Python for prototyping and analytics
• Experience interacting directly with Trading desks and Risk teams in an international environment
• Familiarity with model governance processes, internal validation, and regulatory requirements
• MSc in Mathematics, Physics, Engineering, or another STEM discipline
• Leadership, autonomy, prioritization, analytical ability, and comfort with technical discussions
• Ability to own model design end-to-end, from theoretical framework through production deployment and governance

Core Competencies

Demonstrates deep expertise in Interest Rate Modelling, including multi-curve frameworks and stochastic volatility models, while effectively leading the design and development of Pricing and Risk Management models. Proficient in model calibration techniques and programming in C++ and Python, with a strong understanding of regulatory requirements and model governance processes.

Highest-signal resume keywords

• Interest Rate Modelling
• C++ Programming
• Model Calibration Techniques
• Fixed Income Derivatives Valuation
• Model Governance Processes

ATS Optimization Keywords Hard Skills

• Interest Rate Modelling
• Model Calibration Techniques
• Numerical Methods
• Monte Carlo
• PDE
• Lattice Methods
• Adjoint Differentiation Methods
• C++ Programming
• Python Programming
• Analytical Ability

Soft Skills

• Leadership
• Autonomy
• Prioritization
• Analytical Ability
• Technical Discussion Comfort

Certifications & Qualifications

• MSc in Mathematics
• MSc in Physics
• MSc in Engineering

Industry Keywords

• Pricing & Risk Management
• Model Risk
• Credit Derivatives
• Inflation Derivatives
• Global Markets
• Trading Desks
• Model Validation
• Regulatory Requirements
• Cross-Asset XVA Framework
• Quantitative Development