Credit Derivatives Quantitative Analyst - Vice President - PhD Credit Derivatives Quantitative Analyst - Vice  …

Selby Jennings QRF
in New York, NY
Permanent, Full time
Last application, 13 Jun 21
USD200000 - USD300000 per year + Discretionary Bonus
Selby Jennings QRF
in New York, NY
Permanent, Full time
Last application, 13 Jun 21
USD200000 - USD300000 per year + Discretionary Bonus
Selby Jennings QRF
A Tier 1 US Investment Bank is looking to bring on a strong quant to their Credit Quantitative Research team. This group is a part of the number one credit trading businesses on the street.



Job responsibilities include:

  • Develop and implement models to compute overhedges for options
  • Pricing library model maintenance, development, and implementation
  • Develop and implement a tool for hedging derivatives
  • Implement new pricers and maintaining existing ones for exotic trades


Job requirements include:

  • MS/PhD in STEM subject, Mathematics or Physics preferred
  • Strong C++ skills
  • Academic or professional research experience
  • Equity derivative modeling and options pricing experience
  • 2-5 years of experience on a Credit desk
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