Quant Analyst - Credit

P2P; London; On-site; GBP 80,000 - 120,000; Full time

Job summary

A leading company in the finance sector is seeking a Quantitative Analyst to build and enhance a cross asset analytics library. The ideal candidate will have a strong background in credit analytics and derivatives modeling, modern programming skills in C++, and the ability to work closely with portfolio managers and IT teams. This role involves hands-on development, refinement of existing models, and collaboration across teams.

Qualifications

• 5+ years credit analytics/ derivatives modelling.
• 2-5 years modern C++ (20 and up) experience.
• Excellent financial mathematics, implementation of numerical methods.

Responsibilities

• Responsible for building cross asset quantitative analytics library.
• Communicate with library clients and assist with gathering requirements.
• Review code from other quants with focus on modeling.

Skills

Credit analytics

Derivatives modelling

Financial mathematics

Modern C++

Software lifecycle management

Tools

GitHub

Jira

Job description

MAIN DUTIES/RESPONSIBILITIES OF THE ROLE:

• Responsible for building out the new cross asset quantitative analytics library for Brevan Howard, with a particular focus on credit cash and derivatives modelling
• Build out the library across additional asset classes, with new products, models, trade representations, pricing, risk, and calibration methods.
• Be comfortable communicating with and developing alongside the library clients - Portfolio managers, Strategists and the wider Risk team. Assist with gathering business requirements and working with the IT teams to assist with delivery
• Review the code from other quants on the team, with a focus on the modelling.
• Hands-on development and testing

WORK EXPERIENCE/BACKGROUND:

Essential

• 5+ years credit analytics/ derivatives modelling
• 2-5 years modern C++ (20 and up), with some experience in optimising high-performance libraries
• Excellent financial mathematics, and implementation of numerical methods
• Software lifecycle management (GitHub, Jira, etc)

Desirable

• Experience in rates modelling
• 2+ years Python or C#
• Vectorisation and AAD technologies