Quant Consultant/Developer
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Job DescriptionKEY RESPONSIBILITIES:* Support flow quantitative models, analytics libraries and tools.
* Implementing the XVA, funding, Liquidity, Capital, Margining and other FO regulatory models and libraries.
* Support of Flow trading desks on pricing and hedging of flow products
* Development of models used for pricing and risk management, including PL Explain and capital
* Supporting the client's Sales and the desk strategists by providing them with quantitative toolsKEY SKILLS AND EXPERIENCE:
* Flow Credit knowledge, e.g., CDS, Bonds, CLNs, repack Swaps & similar, CMS spread
* Modelling knowledge, e.g. HW Model + local FX vol, smile, skew
* Bond-CDS basis in risks decomposition
* Experience in a quant team and coding in C++/C#/python, modelling & systems
* Data manipulation and database experience (SQL preferred)
* Strong communication skills to liaise with Quants, IT and Managers
