FO Quantitative Research - IBOR Transitioning

In 2018, regulators and industry groups within financial services launched an intensified, carefully coordinated global push for firms to recognize the demand of circumstances surrounding interbank offer rates (IBORs) and accelerated the efforts to change products referencing IBORs and transition to alternate reference rates (ARRs). This is an urgent need for all banks to actively reduce their exposures to IBORs and transition to products referencing ARRs, for global financial markets to remain safe and sound. This transition from LIBOR to alternative reference rates is supposed to be done by end of 2021.



For a British Investment Bank, Quanteam UK is taking part to their IBOR Transitioning project, working closely across the Front Office Quantitative department & Machine Learning Team.


Quanteam UK are looking to on-board Senior Quantitative Analysts & Developers, who will bring thier expertise and act as a Senior consultant within this team. There are many functions around delivering a successful group transformation program such as:

  • Mobilize IBOR Transition – to delivery group transformation program

  • Conduct and manage Risk comprehensive assessment – covering product and risk impacting IBOR transition.

  • Outline and identify governance framework within IBOR Transition Program – define the risk, issues and work streams load.  


The imminent enablement of IBOR Transition planning and market adaptation of the new ARR’s and its replacement by new Risk-Free Rates has created the need for new products and models as well as a major rethink of the current ones. In this context, Quanteam UK is bringing on board a multi-skilled team of Senior Quantitative experts, who will join the Front Office Quantitative research department of our client.


With the regards, we are hiring:


Senior Pricing Modellers – Rates & Credit expertise

  • Strong product knowledge on linear and options rates products, knowledge of Inflation, Credit or FX would be a plus;

  • Understanding of multi-tenor interest rate curve construction and CSA aware pricing;

  • Understanding of stochastic volatility models and calibration of rates models;

  • Strong analytical and numerical skills, including practical knowledge of stochastic calculus, and knowledge of implementing pricing analytics;

  • Strong C++ experience, developing in a large quant library

  • Appreciation of computational requirements of pricing algorithms - basics of numerical PDE solvers, Monte-Carlo, early exercise by regression (e.g. LongstaffSchwartz).


Senior eTrading Quantitative Analysts – Pricing & Machine Learning expertise

  • Solid experience building automated pricing, relative value, market data calibration, and machine learning applications

  • A solid quantitative background

  • Practical programming experience in C# or Java and Python or R scripting environment.

  • A strong desire to work in a fast-paced environment that demands extensive self-learning with a steep learning curve.

  • Knowledge of fixed income and interest rate markets and products, particularly swaps and bonds (optional)

  • Proficiency in Excel for the development of tactical tools and prototypes (optional)


Quantitative developers

  • 5y+ experience working as quant/quantitative developer in a large quant library within major financial institutions, with front office or market risk focus.

  • Exceptional C++, with strong capacity of abstraction and design skills;

  • Strong knowledge of at least one asset class - interest rate, FX, inflation products etc.

  • Strong analytical and numerical skills


XVA Quantitative analysts


  • Experience in XVA implementation within quantitative

  • Experience in production implementation in C++

  • Strong analytical and numerical skills

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