Quantitative Analyst

Mayfair, London
Market rate
06 Jul 2018
03 Aug 2018
Contract Type
Full Time

Job Title: Quantitative Analyst

Employer: Rokos Capital Management LLP

Location: Mayfair, London

Salary: Market rate

Duration: Permanent

Closing date for applications: 3 August 2018

Who we are

Rokos Capital Management LLP (“RCM”) is a hedge fund manager founded in 2015 and currently has over 110 employees between our London headquarters and Washington, D.C. research office. The Firm manages a global macro hedge fund that targets consistent long-term returns for our investors within a well-defined risk framework. The fund is active in the major macro asset classes: interest rates, FX, equities, as well as emerging markets, credit and commodities.

Our values

At RCM, our culture is driven by teamwork, our ability to analyse and solve complex problems, and our embedded ‘QED’ ethos: you will work alongside exceptional people who question consensus, maintain high ethical standards and are continually demanding of themselves.

Our Quantitative Analytics team

Our Quantitative Analytics (QA) team is responsible for the maintenance and improvement of our core quantitative analytics library – it includes but is not limited to pricers, models, risks and trade analysis tools. As part of a well-defined rotation QA members are also the first line of support to the business when it comes to all the derivatives pricing and risks used by RCM.

There is a strong culture of ownership and responsibility – every role is valued and everyone has the opportunity to have a significant impact on the team and wider organisation.

Key responsibilities

  • In order to be successful in the QA team, we seek candidates who combine excellent academics, maths, programming skills and market understanding with a practical approach to problem solving.
  • Successful candidates must be happy working on all aspects of a quant project from start to finish (understanding the business problem, modelling and solving the resultant maths problem, sourcing any required data, and then coding the production solution) and contribute in improving the cross-asset Quant library.
  • Help maintain the risk and P&L explain system 
  • Help maintain pre and post-trade analysis trading tools and spreadsheets (P&L breakdown, trade idea generation, screening for interesting opportunities)
  • Coding design and architecture of parts of the pricing library
  • Help maintain and build new models for pricing and new product requests and risk management of the book

Skills and qualifications

  • A Levels at grade A*/A (or international equivalent) and a 1st class degree in a Computer Science and / or Engineering degree (or international equivalent)
  • Excellent maths intuition
  • Recent demonstrable experience working in a leading  Hedge Fund or Investment Bank
  • An intuitive understanding of derivatives and market knowledge
  • Minimum 3 years’ experience in object-oriented programming in an enterprise-level code base, including C++
  • Minimum 5 years’ experience in Interest Rate Modelling
  • Demonstrable experience in the responsibilities of the role


  • Ability to pick up new skills quickly and adapt to new working environments
  • Excellent communication skills and a pragmatic problem solver
  • Ability to work independently and with initiative
  • Experience leading a team

Send your CV by email to Jennifer Wall by clicking the 'Apply Now' button below.