Snr Rates Quant, Large Hedge Fund (VP), NYC Snr Rates Quant, Large Hedge Fund (VP), NYC …

Millar Associates
in New York, NY
Permanent, Full time
Last application, 23 Nov 21
Total to $350K + Benefits
Millar Associates
in New York, NY
Permanent, Full time
Last application, 23 Nov 21
Total to $350K + Benefits
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
This leading Asset Management Service firm has over 200 staff and offices in London, Hong Kong, and New York. Their Quant team develop and enhance the core Quant analytics library (written in C++) and 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. This is an exciting opportunity to join a rapidly growing business with a strong track record.

Cross Currency LMM, CLV, Bermudan swaptions, callable floaters, structured products, etc., C++, SQL

RESPONSIBILITIES:

  • Play an integral role in leveraging the analytics and front end to build-out a market leading system for Fixed Income asset management
  • Apply your deep knowledge of Rates markets and modelling
  • Deliver tools & analytics to price and risk Macro products, & focus on nonlinear products (Bermudan swaptions, callable floater, structured products, credit hybrids etc.) using LMM, SABR, Cheyette, Vanilla models.
  • Build out library functionality for valuation, risk, scenario, for a wide range of OTC and listed derivatives as well as some cash products in G10 and EM

KEY SKILLS & EXPERIENCE:

  • 5 yrs+ experience as a Rates Quant including Bermudan swaptions, callable floaters, structured products, LMM, CLV, etc.
  • Deep knowledge of and passion for derivative analytics & markets, PDEs, stochastics
  • PhD or Masters in a quantitative discipline
  • Confident working with C++, with good SQL, Excel
  • Ability to communicate with PMs/traders.
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