Linear Rates Quant - AVP/VP level
To support and develop pricing and hedging tools and models used by the Interest Rate Derivatives trading desks on a daily basis. Research and development of new models.
The primary responsibility of the successful applicant is to work in a team that develops analytics for the Interest Rate Derivatives trading desks. This includes development of new models, resolving exiting model issues as well as code improvements.
Focus on linear flow rates products (Dollar and Canadian currencies) - such as bonds, swaps, futures. This is desk support modeling yield curve, risk calculation, PnL attribution. You will be working on models and product enhancements related to LIBOR reform and RFR transition.