Snr Quant Analyst, Flow Credit Derivatives, Large Hedge Fund Group (VP), New York
Millar Associates New York, United States
C
This leading Asset Management Service firm has over 300 staff and offices in London, Hong Kong, and New York. Their Quant team develop models, analytics provide front office tools for traders/PMs. Their platform is considered an industry leader in trading analytics, risk analysis and operational robustness, delivering pricing, scenario, risk and P&L for their portfolios and the ability to structure and overlay new positions. You will play an integral role in further developing our analytics for credit cash and derivative products and associated analysis tools to meet the needs of client portfolio managers.
CDS, Bonds, CLNs, CMS spreads, Index, Repack Swaps, Fixed Income, C++
RESPONSIBILITIES:
- Play an integral role in leveraging the analytics and front end to build-out a market leading library and risk, PnL system for Flow Credit
- Apply your deep knowledge of Credit Derivatives, Markets & modelling
- Build out library functionality for valuation, risk, scenario analysis
KEY SKILLS, EXPERIENCE:
- 4-8 yrs+ quant experience in Credit Derivatives including: CDS, Bonds, CLNs, CMS spreads, Index, Fixed Income, etc.
- Deep knowledge of and passion for derivative analytics & markets
- PhD or Masters in a quantitative discipline
- Confident working with C++ and good SQL, Excel
- Ability to communicate with PMs/traders.
- Able to discuss issues such as: Callable bond modelling, Index basis volatility, etc.
- NB. Green Card or US Citizenship required for this role
Job ID QACR-2110
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