Quant Analyst / Developer - FX & Rates - Investment Banking

My client a global Investment Bank is looking for an experienced Quant Analyst / Developer for a front office role within their FX business.

The role will involve working directly with the FX business and contribute to the ongoing development and management of pricing and risk models used to manage interest rates hedges traded by the FX Desks. This will cover vanilla rates products (Basis swaps, Bonds, Futures and OIS) and include developing full system reconciliation systems whilst aligning new models to the new and legacy system.

In addition you will also be responsible for gaining IMR sign off for the new implementation, trading approval for the new risk measures and look at open source versus legacy quant libraries.

Candidates will require:

• Demonstrable experience working within a Front Office Quant Analyst or Quant Developer position
• Thorough understanding and developing and maintaining models used for pricing and risk of FX and Interest Rate Derivatives products
• Expert level C++
• Previous experience assisting in the development of benchmark models for model validation