Quant Analyst - Credit
Brevan Howard Asset Management
MAIN DUTIES/RESPONSIBILITIES OF THE ROLE:
- Responsible for building out the new quantitative analytics library for Brevan Howard.
- Build out the library across additional asset classes, with new products, models, trade representations, pricing, risk, and calibration methods.
- Focus on building out the Credit aspect of the library – curve construction through to cross-asset Credit analytics
- Work closely with the clients of the library, assisting with gathering business requirements, assisting desk strategists that use the library, and working with the IT teams to assist with model delivery.
- Review the code from other quants on the team, with a focus on the modelling.
- 5+ years analytics/modelling experience in Credit - curve building/derivatives modelling
- 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)
- Modelling experience in other asset classes
- Experience modelling path dependent products
- 2+ years Python or Java
- Vectorisation and AAD technologies