Digital Solution Architect

Pricing Models & Risk Engine Quants, (VP), London

Paris & London Ref : MREQ-0903 Up to £220k Total + Benefits & Pension Leading Global Investment Bank New Paris Quant Modelling Team : FX / Equity Derivatives Modelling, Risk Engines, IBOR Reform, SIMM, C++ or C#

This global investment bank seeks to hire several Quant Analysts to join their Front Office team supporting FX & Equity Hybrids and Rates trading. Depending upon your skills, you will be involved either in modelling & pricing of derivatives and tools (Equity / FX) or improving the Risk Systems and Risk Metrics (C++ & C#) or IBOR, SIMM modelling. Areas where we require your quantitative expertise are listed below. This is a great opportunity to work with some of the best quants in the industry and be directly involved with the business.

5 years experience in one or more of the following areas :

• Implement valuation models, tools & pricers into the quant library, including structured FX / IR, FX / Equity models and tools development.
• IBOR Benchmark reform, e.g. RFR cap / floor pricing or CMS Fallback.
• Improvement of Risk systems and tools (C#) and the Risk engines code base.
• Development of models, pricing tools and their system integration with a focus on Equity and FX asset classes.
• Provide modelling support for FRTB / SIMM / VaR systems and quant solutions for the computation of those regulatory metrics.
• Provide support to the trading desk and risk management.
• Improve the client tools and be involved in the next generation of tools.

Experience & Skills per role :

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