Exotic OTC Rates-Derivatives Desk Quant
- Boston, MA, USA
- Permanent, Full time
- Analytic Recruiting Inc.
- 06 Jul 17
Boston based Fixed Income/Credit Hedge Fund is looking to add an experienced Exotic Derivative Desk Quant who can develop analytics libraries in C++ or C#, has Python skills, strong data base skills and who has experience implementing these applications with the firms infrastructure team. The role is part of the firm’s portfolio management team.
- Build and Implement Trading tools and Risk Analytics applications
- Build data bases for quantitative models
- Will work on P&L, Portfolio Management and Risk applications
- Will develop OTC valuation models for pricing complex options and swaps
- Will work on FVA- measuring trade profitability and the impact of funding and liquidity on the cost of a trade.
- Ideal Candidate will have experience working on an Exotics Rate Desk as a desk quant
- Ideal candidate will have deep knowledge of OTC Derivatives (Rates, FX, Equity)
- Must have strong quantitative programming skills in some Object Orientated Language such as C#, Java and/or Python
- Must have advanced SQL and database architecture skills
- Must have advanced Excel and VBA skills
- Must have proven working experience and in-depth knowledge of: Correlation Swaps, Equity Options, FX Forwards, Futures, Interest Rate Swaps, Swaptions and Variance Swaps
- Must have experience building and using derivative valuation models
- Must have a quantitative degree in CS, Physics, Math, Finance or Stats and 2-3 years of experience working on derivatives trading technology
Key Words: OTC Derivatives, Exotic Derivatives Desk Quant, Interest Rate Derivatives, Exotics, Credit Derivatives, time series, Fixed Income
Please send resume to Jim Geiger: firstname.lastname@example.org