Quantitative Strategist Flow Rates
Core
Building the 'Golden-Source' representation of Trading Inventory and delivering critical interest rate curves for risk and P&L platforms within the Investment Bank.
Role type
Associate quantitative strategist (flow rates)
Builds
Strategic Kannon platform (C++ and Python) integrating front office functions
Domain
Investment Banking, Interest Rate Products, Risk Management
Deliverable
production ML models | product features
Required skills
quantitative modelling, pricing, risk management, interest rate curve construction and calibration, C++, Python, numerical analysis
Preferred skills
architectural design, best practices implementation
Technologies
C++, Python
Responsibilities
Support Flow Rates business (Pricing, risks analysis, P&L), Analysis and development of analytics for linear rates products within Kannon platform, Collaborating with stakeholders across trading, finance, software development and Market Risk
Seniority
Associate, hands-on IC