Front Office Credit Derivatives Quantitative Analyst | New York City recruitment

This leading European Investment Bank is looking to expand its Fixed Income Credit library with the acquisition of a highly experienced Quantitative Modeller. You will ideally have some experience modelling derivatives and fixed-income products, however you may also come from more of a pure CDO, ABS and Credit Hybrids background. This role will require a very high level of mathematical finance ability including the creation of complex derivative pricing models using high end mathematical modelling such as Stochastic Calculus, advanced PDE’s, Stochastic Volatility etc.

Responsibilities:

-Developing and creating new models for distressed structured credit products, which may include; CDOs of ABS, CLOs, Credit Derivatives (Tranches, Options), Asset Back Security (ABS) Products, ABS and Leveraged Loans Indexes, Other Structured Credit Products.

- Designing and implementing models to support Credit trading and working very closely with the desk

-Developing pricing models and building up the C++ library in order to integrate with the banks advanced trading systems.

-Help lead a team of highly technical PhD Quants and IT support to create a highly efficient business unit.

Ideal background:

-Experience of developing models for credit derivatives and fixed-income products within a financial institution. 

-Extensive liaison with other business and control functions to ensure a coordinated, integrated approach is delivered to the trading desk, as required

- Strong analytical skills with a good judgement (market fluctuations, people).

-Exceptional academic background with a PhD or a Masters degree from a top University in a highly mathematical subject.

-Expert level stochastic calculus, PDE, ODE, Brownian Motion, Monte Carlo Simulations, Finite Difference Methods etc.

-Large amounts of financial reading.

-Strong programming skills in VBA and C++.

The person:

-Excellent communication / interpersonal skills; must demonstrate initiative and be able to make quick decisions; inspire and motivate and successfully lead a team of junior quant analysts.

Key words:

Quantitative; Credit Derivatives; Exotic; Vanilla; Collateralized debt obligations; Collateralized loan obligations; Asset Back Securities; Europe; London;

To apply for this position please contact us by submitting your CV in word format to quantexotic@selbyjennings.com or alternatively phone us on +44 207 019 4137.