Fixed Income and Commodities Quantitative Analyst
Commodities have been a core business for Macquarie since its inception in 1969, and they continue to play a significant role in Macquarie's global activities today. Our presence across the entire spectrum of the commodities markets enables us to deliver comprehensive financing and risk management solutions for our clients.
The Quantitative Analyst will be responsible for:
- Develop and implement strategies to support the commodities activities of all businesses across FICC
- Provide support on quantitative areas to traders, structurers, and marketers
- Research, implement and maintain financial models for derivative valuation
- Liaise with other areas of the bank on quantitative issues, model development and approval
- Manage the local team.
We are seeking a candidate with at least 5 years front office exposure, and with significant experience in:
- Commercial work with commodities, especially agriculture and energy
- Derivative pricing-model development in a dealing room environment (commodity short-rate and market models, including skew and seasonality, valuations of swaptions, spread options, swing trades, storage and virtual power-plants, etc)
- Programming in C++ and Python, as well as coordinating team projects.
The candidate will have demonstrated the ability to both lead and work in a team based setting, and have a pragmatic approach to problem solving and innovation. PhD qualifications with a quantitative focus from a top tier institution will be highly regarded.
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