City Investment Bank requires a VP Level Quantitative Analyst, covering predominately Interest Rates.

You will be at VP or Director level and have 3-5 years IR Quant experience, building and/or validation of Pricing Models for IR products, including Derivatives. You will be the number 2 to the head of the team of 6 quants.

Client will consider Front Office or Middle Office (Model Validation, Pricing, Valuation) experience. What is essential is that you possess the interpersonal skills manage and mentor other members of the team. You should also have project leading experience in this field. You should be familiar with Markov Chain Function Model, LIBOR model, yield curve, Martingale Theory of Derivative Pricing, CDS, IR Swaps, Stochastic Volatility model and parameters in these models.

The team sits in the front office. You will therefore have considerable contact with the Trading team.

C++ and/or VBA Programming experience is ideal.