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Quant Analyst – Complex Quantitative Modelling, Model Validation, Credit, ABS
£90K - £120K + Excellent Benefits
Sell Side
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0207 763 7070
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Quant Analyst – Complex Quantitative Modelling, Model Validation, Credit, ABS

A leading Investment Bank are looking for a Quant Analyst to work in the Credit Valuations Models team in London, covering valuation models used for Credit derivatives, hybrids and Asset Backed Securities (ABS). This team is responsible for valuating the pricing models and as such is very closely aligned with front office and trading teams with direct contact actively encouraged. Together with other teams, it also develops methodologies for aggregating market and credit risks, to provide bank-wide risk analysis for senior management.

Key responsibilities include independently reviewing models for Credit Derivatives, Hybrids and ABS used in the Investment bank, wealth management and asset management divisions. This will involve examination and suggestions to improve the model suitability, calibration, speed, accuracy, risk sensitivities and model performance.  The position also offers excellent exposure to other business areas across Risk and Finance thus creating a broad role with various challenges and opportunities to develop.

Key Requirements
  • Experience in the relevant areas as a quant within investment banks, such as model validation or front office roles.
  • Knowledge of financial markets/products- Credit Derivatives, ABS and Credit Hybrids
  • MSc or PhD in a quantitative discipline such as Mathematics, Physics, and Computing etc
  • Proficiency using C++ and experience in implementing complex derivative models using Monte Carlo and/or partial differential equation techniques
  • Excellent written and verbal communication skills (able to explain equations in plain English)

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