Junior Financial Engineer | Interest Rate/ Fixed Income | New York recruitment

This leading Investment Bank is looking to take on a couple of strong juniors, who are seeking a challenging start to their career. This kind of product and business exposure will offer the candidate a solid platform which will allow the candidate to move freely in their career later on.

Reporting to senior Directors and learning solid business acumen from widely known Quant Analysts in the industry, these candidates will be gaining the best start to their career.

Responsibilities:

-Write Requirements Definition (RD) and Product Specifications for vanilla and exotic Derivative products across FI/CC/INF/CR/EQ/FX.

-Work in conjunction with Sponsor Customer to specify new functionality.

-Work as liaison between Customers and Internal teams (Sales, Quantitative Research, Quantitative Development, and Integration Development).

-Design and perform FE testing on models (calibration and pricing) across FI/CC/INF/CR/EQ/FX on the Library (Excel/VBA), Toolkit (C/C++), and the Portfolio (C#), and testing on model Greeks using Monte Carlo, etc.

-Design and perform QA testing on the products, including NxPro and Portfolio.

-Identify new business opportunities in the derivatives analytics space.

-Create/Maintain Excel templates based on its Application Engine as Excel Add-in.

-Provide consulting and professional services for clients using the products for integrated/independent pricing and risk analytics system.

Experience and Skills Required

-PhD or Masters degree (or foreign equivalent) in Mathematics, Finance, Financial Engineering, Computer Science, or related field.

-Some previous experience with Excel and VBA, C/C++/C# programming languages.

-Must have SOME industry experience

-Demonstrated knowledge of the following: derivative pricing models for both vanilla and exotic derivatives across FI/CC/INF/CR/EQ/FX; risk management techniques including parametric, historical, and Monte Carlo VaR, credit exposure, etc.; financial mathematics skills, including stochastic calculus, numerical methods for PDE, numerical linear algebra, real analysis and probability, Monte Carlo method, and time series analysis; and financial modeling, financial mathematics, or quantitative/engineering related research.

To apply for the Junior IR/Inflation Financial Engineer role please call 0207 019 4137 or email quantexotic@selbyjennings.com

Key words:

Front Office Quantitative Analyst; Finance; Engineer; USA; New York City; Interest Rates; Fixed Income; Credit Risk; Equities; Foreign Exchange; Vice President.