FO Fixed Income (Rates, Inflation & Credit) – VP
Core
Lead end-to-end design, development, and governance of pricing and risk management models for Fixed Income (Rates, Credit, Inflation) derivatives in a global trading environment.
Role type
Senior Front Office Quantitative Modeler (Fixed Income)
Builds
Production pricing and risk models for interest rate, credit, and inflation derivatives
Domain
Global Markets / Fixed Income Derivatives
Deliverable
production ML models | product features
Required skills
Interest rate modelling (multi-curve, stochastic volatility), Credit and Inflation derivatives valuation, Model calibration (Monte Carlo, PDE, lattice, adjoint differentiation), C++ (OOP, STL, performance), Python (prototyping), Model governance and risk management
Preferred skills
MSc in Quantitative Finance, PhD in quantitative field
Technologies
C++, Python, QGM, LGM, SABR, Monte Carlo, PDE, lattice methods
Responsibilities
Lead design and enhancement of pricing/risk models for vanillas and structured products; Define modelling frameworks and numerical techniques; Assess model risk and calibration; Act as quantitative partner for Trading and Structuring desks; Coordinate with Engineering teams for production implementation; Lead integration into testing/validation frameworks; Participate in model governance and risk approval; Support daily trading desk activities (pricing discrepancies, calibration, hedging); Contribute to XVA framework development; Mentor junior quants
Seniority
Senior, hands-on IC with leadership responsibilities