Senior Quant – Lead position recruitment
Responsibilities:
• Construct, verify/validate and maintain a library of models to support the fixed income business lines
• Development of risk management tools by enhancing existing analytical models and focusing on designing and implementing new models (e.g. VaR, back test, stress test, etc.)
• Implementation of pricing models and risk models across different fixed income asset classes, including interest rate models and volatility models etc.
Experience:
• 7+ years relevant fixed income quantitative modeling experience.
• Management / experience in leading a quant team
Knowledge and Skills Required:
• Strong knowledge with quantitative models
• Hands-on experience with model implementations using Monte Carlo simulation
• Strong knowledge with risk models such VaR, expected shortfall and Greeks
• Familiarity with fixed income asset classes
• Solid mathematical background with top level quantitative knowledge and skills in probability theory, statistics, econometrics and PDE etc.
• Strong hands-on experiences with C++ and other programming tools
• Leadership qualifications and managerial skills.
Education, Training /or Certification:
• Advanced degree in a quantitative discipline. You must have a Masters or Ph.D. in a quantitative discipline.
H1b transfers OK