Rates Quantitative Analyst

Overview

In this role you apply quantitative pricing and risk analytics to support the Rates desk, building and maintaining models and curve libraries to address trading, business, and regulatory needs. You collaborate closely with traders, sales, and technology to deliver robust risk and P&L solutions, rapidly addressing anomalies and proposing new analytics. The position sits within the Front Office Rates QA team and offers exposure to impact-driven model development and cross-functional collaboration.

Pay / Benefits

• career comeback program
• flexible working options when possible
• inclusive culture
• disability inclusion

Responsibilities

• Partner with Rates Trading and Sales to provide pricing, risk models, and hedging analytics for flow rates products
• Develop, enhance, and maintain rate analytics and model libraries (pricing, risk, curve building) for trading and regulatory needs
• Collaborate with QA and technology teams to deliver production-risk management and P&L reporting solutions
• Maintain active engagement with Trading and Sales to resolve model/market issues and propose new analytics

Key requirements

• strong academic background in a quantitative field
• proficiency in C++ and Python
• strong understanding of interest rate products and flow rates
• hands-on curve building (multi-curve frameworks, calibration)
• practical knowledge of pricing and risk for flow rate products (sensitivities/Greeks, scenario/curve risks, hedging)
• ability to explain model behaviour to desk stakeholders
• knowledge of quantitative finance and derivative pricing
• strong communication skills

• strong communication
• collaboration
• ability to work under pressure
• C++
• Python
• curve building

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