A top US investment bank is seeking an experienced Credit Derivatives Quant with Mortgage Experience to join its Credit quant in London.

You will be working within the structured credit Quant group and working with the traders to develop efficient tools for the desk, trading strategy analytics, and risk and valuation tools. 
You will be developing the analytics library and working with other quants to build complex derivative pricing models and implement in C++.
You will be covering a range of Exotic credit derivatives as well as CDS, default baskets, credit options, tranches, CDO and flow products such as CLO/CBO, ABS, MBS, CMBS.

The position is a great opportunity to join an exceptional team of highly regarded quants working in one of the most lucrative investment banks in the globe.

Qualifications:
-Background modelling credit derivatives, CDS, default baskets, credit options, tranches, CDO and flow products such as CLO/CBO, ABS, MBS, CMBS
-Excellent academic background with a PhD in a highly quantitative discipline, Mathematics, Physics, Financial Engineering etc.
-High level of Mathematical finance, stochastic calculus, PDE's, Gaussian Copula, specific knowledge of Emerging Market activities, credit dynamics, or mortgages are a plus
-Strong hands on technology skills are a core requirement (C++ programming and statistical packages such as SAS or Matlab; Excel VBA).
-Strong Communication Skills

To apply or for more information, please contact by mail.

www.selbyjennings.com, 00 44 207 019  4137