Overview
Senior Quant Analyst - Rates
Responsibilities
* Build out the 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.
* Communicate with and develop alongside the library clients — Portfolio managers, Strategists, and the wider Risk team.
* Assist with gathering business requirements and work with IT teams to assist with delivery.
* Review the code from other quants on the team, with a focus on modelling.
* Hands-on development and testing.
Work Experience / Background
Essential
* 10+ years in linear and non-linear interest rates modelling
* 2-5 years modern C++ (20 and up), with 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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