Fixed Income Quantitative Analyst Fixed Income Quantitative Analyst …

Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 02 Mar 21
Negotiable
Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 02 Mar 21
Negotiable
Selby Jennings QRF
An American Asset Manager is looking to hire a Quantitative Analyst with pricing experience in rates, credit and FX to join its Risk and Quantitative Research function. A successful candidate will be a smart and creative problem solver with a mathematical background, an understanding of fixed income derivative products and knowledge of the valuation process for those products.

An American Asset Manager is looking to hire a Quantitative Analyst with pricing experience in rates, credit and FX to join its Risk and Quantitative Research function. This global asset management firm is well established leader in the industry, that invests through Equity Long/Short and Global Macro strategies. This specific team plays a key role in the investment process, offering efficient risk management and ensuring that all risks taken are efficient and deliberate. A successful candidate will be a smart and creative problem solver with a mathematical background, an understanding of fixed income derivative products and knowledge of the valuation process for those products.

What You Will Be Doing:

  • Identifying the best methodologies for pricing multi-asset fixed income derivatives
  • Driving the improvements in pricing analytics and models covering rates curves, volatility surfaces, credit curves, and inflation curves
  • Driving improvements in stress testing, VaR and various limit frameworks around concentration and liquidity
  • Evaluating external vendor model models for new products, adapt and improve them, and oversee deployment
  • Investigating portfolios and strategies to understand drivers of performance
  • Developing reports that summarize risk profiles and facilitating efficient risk management

Ideal Candidates Will Have:

  • At least three years of full time working experience on the sell-side (banks, broker dealers etc.) working with a trading desk
  • A strong background in statistics, math and econometrics
  • The ability to manipulate and synthesize large data sets
  • A very high level of proficiency in SQL and quantitative programming (Python, Matlab, R)
  • Knowledge of fixed income asset classes, experience covering rates, credit and fx
  • Pricing and valuation experience
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