Financial Engineer recruitment

Job description

They help support their client's investment activities and operational workflow through a broad range of offerings, such as millions of independent evaluations of fixed income securities, a wide range of global reference data and listed markets pricing, ultra-low latency data and trading infrastructure services to facilitate electronic trading, sophisticated analytical tools for investment managers, customized web-based financial information systems, and desktop solutions.

They are seeking a candidate with a strong quantitative development background. Applicants should be knowledgeable of different asset classes, with a concentration and experience in Fixed Income and Derivatives. The candidate will work closely with product development through entire development life cycle, and be responsible for creating and supporting pricing models for Fixed Income and Credit Default Swaps.

What you'll be doing:

The primary responsibility is to design and build valuation models for Credit Default Swaps including:
• Design, implement, and maintain valuation models and analytics tools for Credit Default Swaps.
• Work with a quantitative team to enhance modeling capabilities.
• Keep abreast of and apply knowledge of industry and academic research as it pertains to Credit Default Swaps. This includes methods of calibration, modeling interest rates and other correlated processes.
• Effectively manage projects and ensure that models meet the requirements of internal and external clients.
• Discuss Credit Default Swaps valuations with industry and academic leaders.
• Statistically validate work where possible.
• Develop and maintain strong relationships with other teams.
 

Who we are looking for
The ideal incumbent will possess:

• Ph.D preferred in economics, mathematics, or physics or equivalent work experience in derivatives (a record of work related accomplishment on the Ph.D level).
• Strong background in numerical analysis software (numerical recipes, SAS, matlab, etc.).
• Minimum 2 years experience working with fixed income derivatives including Structured Products (RMBS, CMBS, CDO, ABS) and IRS/CDS/CDX swaps and other derivatives.
• Familiar with common fixed income analytics and risk measurement terminology and calculations.
• Proven ability to program in C++ or C# skills for algorithmic development. Must demonstrate facility with these languages.
• Experience in working with SQL databases, CVS or SVN, Linux, and scripting languages.