DEPUTY HEAD OF RATES QUANTS DEPUTY HEAD OF RATES QUANTS …

Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 14 Jan 20
Negotiable
Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 14 Jan 20
Negotiable
Selby Jennings QRF
We are currently working with a Global Investment Bank that is looking to extend their Macro business moving into 2020. This group is a distributed team of Front Office Quants across both FX and Interest Rates products. Due to the growth of this asset class division the Global Head of Quants is looking to hire an additional Director level Quant within the Macro Business. This person will be responsible for driving new model development and managing a nimble team of AVP and VP level Quants.

We are currently working with a Global Investment Bank that is looking to extend their Macro business moving into 2020. This group is a distributed team of Front Office Quants across both FX and Interest Rates products. Due to the growth of this asset class division the Global Head of Quants is looking to hire an additional Director level Quant within the Macro Business. This person will be responsible for driving new model development and managing a nimble team of AVP and VP level Quants. Beyond this they are looking for someone who has "C-suite" aspirations, drive and vision to directly help take the quant division to the next level (ie. bring ideas to the table, explore new technologies, enhance the quant businesses impact on Trading/Technology/Risk Divisions etc.).

Requirements for this position:

  • 10+ years working as Front Office Quant at an investment bank and/or hedge fund supporting Interest Rates/FX products. Preference for expertise across Yield Curve Modelling, SABR enhancement, Markov/Local Volatility modelling.
  • 10+ years of in industry model development and implementation experience in C++/Python. Note, candidate MUST still be hands-on from a programming perspective.
  • 5+ years managing a team of 2 or more Front Office Quants at an investment bank and/or hedge fund.
  • Expertise within both Partial Differential Equations (PDE's) and Monte Carlo Simulation
  • Applied industry experience working within a firmwide, distributed, cross-asset quantitative library.
  • Ability to communicate and explain mathematical concepts to audiences who do not have highly quantitative backgrounds (Trading, Sales, Technology, Regulators etc.).

Passion for staying up to date with new financial mathematical concepts by keeping up to date with recent publications and attending industry conferences.

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