Director, Interest Rate Derivatives Quantitative Analyst recruitment
We are looking for an experienced Quantitative Analyst to take lead responsibility for the Interest Rates Derivatives business in New York, supporting the trading and sales desks globally and developing new models for the analytical library. This is a high profile role with a global remit and huge responsibility/opportunity for the right individual.
Responsibilities will include:
• Developing pricing models and quoting tools on yield curve and option models in support of our US Fixed Income and Interest Rate Derivatives businesses
• Developing quantitative trading and relative value strategies in support of the Fixed Income and Interest Rate Derivative Businesses
• Providing analytical support to the trading and sales desks
We are looking for an experienced, high caliber, results orientated individual to develop quantitative models and trading strategies in support of their Interest Rate Derivatives and Fixed Income (cash and repo) businesses. We require experience in developing pricing, quoting, yield curve and option models in North American and European fixed income and interest rate derivatives wholesale capital markets. In-depth knowledge of a broad range of US fixed income market and quoting conventions, including but not limited to, treasury, agency, futures, inflation bonds, exotics and other interest rate derivatives is required. As is, a solid and practical experience in modeling of yield curves, options and other interest rate products. Excellent computer skills (C++, UNIX, Excel, VBA) and a PHD in a quantitative discipline are also required.