Senior Fixed Income Quantitative Analyst- Model Development – Fixed Income
JOB DESCRIPTION
The Senior Quantitative Specialist will be responsible for the design, development, and testing of the quantitative pricing and risk models within the fixed income domain.
Principal Responsibilities:
• Implementation of pricing models and risk models across different fixed income asset classes, including interest rate models and volatility models etc.
• Develop the risk management tools through the enhancement of existing analytical models and building/implementing new models including VaR, back test, stress test, etc.
• Construct, verify/validate and maintain a library of models that are used support the fixed income business lines
• Assist in identifying fixed income risk issues/providing solutions
Minimum Requirements:
• 7+ years relevant fixed income quantitative modeling experience.
• Solid mathematical background with top level quantitative knowledge and skills in probability theory, statistics, econometrics and PDE etc.
• Strong knowledge with quantitative models (multi-curve framework, interest rate models and volatility models etc.)
• Hands-on experience using Monte Carlo simulation, tree method and finite difference method etc.
• Strong knowledge with risk models including VaR, expected shortfall, Greeks, and their implementations for fixed income products
• Strong experiences with C++ is a must with at least one of the following tools: R, MatLab or SAS. Experience with SQL programming is a plus.
• Familiarity with fixed income asset classes – both plain vanilla types and derivatives - and market conventions, particularly in government securities and Agency mortgage backed securities.
• Excellent communication and presentation skills.
Education:
• Ph.D in a quantitative discipline
APPLY | risk.americas@gqrgm.com
VISIT US | www.gqrgm.com
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. Please ask for Christian in our LA office (310-807-5030). Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5030
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 0203.141.8000
Westminster Tower | Office Hours: 8.00-20.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
GQR Global Markets
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