Quantitative Analyst - Rates (C++ / IR Derivatives)

Paris (Preferred) or London
Front‑Office | Temp‑to‑Perm Position | Interest Rates | C++ Quant Development

We are seeking a highly experienced Front‑Office Quantitative Analyst to join our Rates team in a Temp‑to‑Perm capacity. In this role, you will design, implement, and enhance pricing and risk models for interest rate derivatives, working directly with trading and risk teams in a fast‑paced production environment.

Key Responsibilities

• Design, build, and optimise pricing, valuation, and risk models for interest rate derivatives within the bank's C++ analytics library.
• Improve existing quantitative frameworks to enhance performance, robustness, and numerical stability.
• Collaborate closely with traders, structurers, risk managers, and IT to deliver reliable and high‑quality quantitative tools.
• Contribute to model documentation, internal validation processes, and regulatory initiatives (including FRTB and XVA‑related improvements).
• Participate in the full model lifecycle: research, prototyping, implementation, and deployment into production systems.
• Analyse, troubleshoot, and resolve issues in live production environments, ensuring continuity and accuracy of model outputs.
• Keep up to date with developments in quantitative finance, modelling techniques, and market practices.

Required Skills & Experience

• 7+ years of front‑office Quant or Quant Research experience in Rates or Fixed Income.
• Expert-level C++ development skills (modern C++ standards, performance optimisation, clean architecture).
• Strong quantitative knowledge of:
  • Interest rate curves, bootstrapping, and curve construction
  • Vanilla & exotic IR derivatives (swaptions, caps/floors, CMS, callable structures, etc.)
  • Stochastic calculus, PDE methods, Monte Carlo simulation
  • Model calibration techniques
• Experience working within a production-scale quantitative library.
• Excellent communication skills and ability to work directly with trading desks.
• Advanced academic background (Master's or PhD in Mathematics, Quantitative Finance, Physics, Engineering, or related fields).

Desirable Skills

• Experience with Python for prototyping, automation, or analytical tasks.
• Familiarity with XVA, FRTB, or other regulatory model frameworks.
• Knowledge of Git, CI/CD tools, and collaborative development practices.
• Previous experience in a Paris-based or major European investment bank.

Why Join Us?

• Temp‑to‑Perm opportunity offering long‑term front‑office impact
• Direct interaction with high‑performing trading teams
• Opportunity to work in Paris, a major European hub for quantitative finance
• Work on high‑visibility models influencing real‑time decision‑making
• A culture focused on technical excellence, collaboration, and continuous improvement