Front Office Exotic Fixed Income Quant - Paris, France - Millar Associates

Description

Major Investment Banking Group, Paris

Non-linear Rates, FX, Credit, Hybrids, XVA, OO language

KEY RESPONSIBILITIES:

• Work closely with Fixed Income / FX / Credit trading desks, and also Risk, Finance & IT teams
• Formalize the needs of traders and financial engineers in terms of valuation, hedging & risk
• Design, develop and test models in an OO language (mainly C#) and work on trading tools
• Ensure high-quality standards for calculation libraries, in terms of performance & stability
• Awareness of regulatory issues and able to confidently interact with the Risk department

ESSENTIAL SKILLS & EXPERIENCE:

• 5-15 yrs+ quant model skills with risk-neutralal pricing, hedging, etc.
• Solid knowledge of ideally Exotic Rates, FX, Credit or XVA (other asset classes also considered, Equity, Commodities)
• (For FX, good experience in Local & Stoch Vol, Barriers, Tarfs, Forward Vol or similar)
• Good coding skills in a big Library environment, close to trading (C# or C++)
• Experience gained in a large bank with a big library, big teams, associated type of problems
• Good proven awareness of regulatory issues and able confidently to interact with the Risk department
• Great communication skills and fluent in English
• Good Masters's or PhD in a quantitative discipline from a top-tier institution

(CVs in English please)