New York City based Investment Bank looking for a Front Office Credit Quantitative Analyst recruitment
This leading Investment Bank is looking to expand its Fixed Income Credit library with the acquisition of a talented 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.
Ideal background:
-Experience of developing models for credit derivatives and fixed-income products within a financial institution.
- 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++.
Key words:
Quantitative; Front Office; Fixed Income; Credit Derivatives; Exotic; Vanilla; Collateralized debt obligations; Collateralized loan obligations; Asset Back Securities; USA; New York; .
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.