Sunday, August 5, 2012

Quantitative Analyst

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Aug 01, 2012

Aug 15, 2012


This leading European Investment Bank is looking to expand its Fixed Income Credit library with the acquisition of a talented junior Quantitative Modeller. You will ideally have some experience modelling derivatives and fixed-income products; however you may also come from more of a pure CDO, ABS and Credit Hybrids background. This role will require a very high level of mathematical finance ability including the creation of complex derivative pricing models using high end mathematical modelling such as Stochastic Calculus, advanced PDE`s, Stochastic Volatility etc.

-Developing and creating new models for distressed structured credit products, which may include; CDOs of ABS, CLOs, Credit Derivatives (Tranches, Options), Asset Back Security (ABS) Products, ABS and Leveraged Loans Indexes, Other Structured Credit Products.
- Designing and implementing models to support Credit trading and working very closely with the desk
-Developing pricing models and building up the C++ library in order to integrate with the banks advanced trading systems.

Ideal background:
-Experience of developing models for credit derivatives and fixed-income products within a financial institution.
- Strong analytical skills with a good judgement (market fluctuations, people).
-Exceptional academic background with a PhD or a Masters degree from a top University in a highly mathematical subject.
-Expert level stochastic calculus, PDE, ODE, Brownian Motion, Monte Carlo Simulations, Finite Difference Methods etc.
-Large amounts of financial reading.
-Strong programming skills in C++ or C# a must

Key words:
Quantitative; Front Office; Derivatives; Credit Derivatives; Exotic; Vanilla; Collateralized debt obligations; Collateralized loan obligations; Europe; Paris; Trading; Trader; C++; C#

[click on "Apply Online" button] or alternatively phone us on +.

Selby Jennings is the foremost provider of recruitment solutions to global financial institutions across Europe, the US, Asia and the Middle East.
We work with a diverse range of clients, including investment banks, hedge funds and fund of funds, asset management, M&A, corporate finance and private equity financial consultancies and trading houses.
Covering both contingency and retained recruitment services, we offer our clients an industry leading marketing driven operation, as well as a search and selection service to ensure we access the best and most relevant pool of candidates for every assignment.
Please call a member of the team on to find out more.

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