Director Quantitative Risk Developer – Interest Rates and MBS| SQL and C++ recruitment

Director Quantitative Risk Developer – Interest Rates and MBS | SQL and C++

Location | New York

Package offered -
Salary: $150,000-$180,000 + 30% Guaranteed bonus
Bonus: On target-40%-uncapped bonus dependant on team overall performance
Benefits: The firms executive level benefits package and relocation (if required) is offered for this seniority of hire-including stock options, car and housing allowance.

A new and exciting role working as a Quantitative Risk Developer located has emerged in New York within a leading clearing house looking to expand their team. The successful candidate will be given a great deal of responsibility from day one and will be instrumental in trade approval. Due to the demand for their services, this team has doubled in size and the heads of the business have outlined a plan for continued expansion through 2012. This role will report in to the MD of the group and will be a management role and helping to lead the group and implement the plans laid out by the heads of the business. A good understanding of interest rate models and MBS is a must.
Responsibilities:
•Helping to implement the plans laid out by the heads of the business
•Developing and implementing quantitative models to validate different trading strategies.
•Implementing quantitative articles in C++ and SQL, dealing with volatility spreads and the modelling of implied volatility and other advanced mathematical models.
•Writing up new products from term sheets, risk reports and integrating them into the global booking system.
Skills, experience and qualifications:
•Previous experience on quant desk support.
•Must have a PhD in highly quantitative field with a preference on Computational Mathematics or equivalent
•Excellent level of advanced mathematical theory such as stochastic calculus, black scholes, PDE Modelling and large scale Monte Carlo simulations
•Expert knowledge in visual C++/C, Java, SQL Matlab
•Not essential but knowledge in Reuters and Bloomberg is desired.
•Strong communication skills
The team has outstanding bonus opportunities, based on high performances.

To apply please contact risk@selbyjennings.com with CV in word format.