Senior Fixed Income/Rates Quantitative Analyst
Senior Fixed Income Quantitative Analyst | Exceptional Programming skills required
Salary: Competitive
Location: New York
My client is searching for an exceptional individual with interest rates experience to come on board and join their thriving Quantitative Risk team. The successful candidate will have a great deal of responsibility from day one and should be able to make an immediate contribution. The group are planning to expand the team further throughout the year, so there will be great opportunities to progress and move up through the team quickly. This role will require a high level of mathematical finance ability including the validation of complex derivative pricing models and needs a highly experienced individual. Therefore compensation levels are known to be very competitive for the right candidate.
Requirements:
- Candidate will be analysing and benchmarking some of the most complex and exotic models.
- C++ Programming skills
- Stress testing current models and identifying any potential risks that might affect the trading products.
- You will be working across the asset classes, VaR. Modelling
- Developing risk management tools, including enhancing existing models and designing and implementing new models.
- Assist in identifying financial risk issues and providing solutions
- Library maintenance of models to support enterprise wide risk management.
The successful candidate would ideally have:
- PhD Mathematics/Physics/Statistics or other related quantitative subject.
- Must have experience of VaR. modelling
- Knowledge of programming skills would be an advantage e.g. C++, C#, Java etc.
- Strong knowledge of using VBA and Excel (which is heavily used).
- Strong analytical skills.
- Excellent level of Financial Mathematics i.e. stochastic calculus, PDE modelling, binomial trees, etc.
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