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Senior Quant Analyst - Rates

Senior Quant Analyst - Rates

Brevan HowardLondon, United Kingdom
18 days ago
Job type
  • Full-time
  • Permanent
Job description

Senior Quant Analyst - Rates MAIN DUTIES / RESPONSIBILITIES OF THE ROLE :

  • Senior Quantitative Analyst
  • Responsible for building out the new cross asset quantitative analytics library for Brevan Howard, with a particular focus on linear and non-linear interest rates modelling.
  • Build out the library across additional asset classes, with new products, models, trade representations, pricing, risk, and calibration methods.
  • Befortablemunicating 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

  • 10+ years linear and non-linear interest rates 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 credit modelling
  • 2+ years Python or C#
  • Vectorisation and AAD technologies

    • Job ID JR101138

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    Senior Quant Analyst • London, United Kingdom