Structured Rates Desk Strategist

  • $250,000 plus Bonus
  • New York, NY, USA
  • Permanent, Full time
  • The Delafield Group
  • 19 Feb 19

Top firm is expanding their group and is seeking to add an experienced Structured Rates Quant Strategist to their team. Candidate will possess experience with vol products; bond options and structured notes.

The Head of Quant Analytics for this firm is seeking to expand his group by adding an experienced individual with a Structured Rates Quant Strategist. Strong quantitative devloper/modeler experience is required. This candidate will have extensvie Structured Rates; fixed income options pricing and risk management strategy experience. Develop and model vanilla options, index and structured notes businesses. Design and build interest rate volatility calculator component encapsulating model parameters, instrument conventions and rates curves.

Develop pricers for caps, floors,swaptions and spread options.

Design and build IRR calculation covering wide range of structured notes.

Model and develop rate, options and exotics business while contributing to large Quant pricing and risk library.

Responsibile for the design and implemtation of quantitative tools and models to price and manage structured and hybrid products.

A strong computer Science and technical background to build and enhance the trading platform coupled with strong interpersonal skills are needed. Those who are problem solvers, strategic thinkers and able to adapt to change and who thrive in a fast paced enviornment is what the group is seeking.

You will interface with trading, sales and quant teams while implementing large systems. Experience with big data, develop new index strategies and analyze the performance. Experience working on non-linear products while possessing strong verbal communication skills and a M.SC./Ph.D in a mathematical discipline is required.

Competitive comp package and growth opportunity.