Linear Rates Quant - AVP/VP level Linear Rates Quant - AVP/VP level …

Anson McCade
in Manhattan, NY, United States
Permanent, Full time
Last application, 09 Jun 21
performance related bonus
Anson McCade
in Manhattan, NY, United States
Permanent, Full time
Last application, 09 Jun 21
performance related bonus
New opportunity for a tier 1 bank looking to hire a quant with experience in linear rates products to be the senior quant in a relatively small team in NY. You would be the go to person on the desk.

Linear Rates Quant - AVP/VP level

NYC based

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.

Responsibilities:

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.

Requirements:

  • Solid understanding of interest rate derivatives, interest rate options and fixed income instruments.
  • C++ knowledge is required, Python is a plus.
  • Numerate Degree (Bachelor of Science) e.g. engineering, science, computing or mathematics.
  • Higher degree in mathematical or financial discipline, e.g. DEA/M.Sc. in Finance or PhD in Maths, Physics or Engineering.
  • Ability to work in a business critical and high-pressure environment.
  • Strong communication skills.
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