DESCRIPTION:

Duties: Drive software design, roll-out, and adoption to automate the marking and pricing of fixed income and fixed products. Perform research, development, back-testing, deployment and support of real-time analytics for interest rates products. Explain model behavior and predictions to traders and controllers. Identify major sources of risk in portfolios, carry out scenario analysis, provide guidance to trading groups and debug analytics. Build prototype trading markets application for the market making desk to evaluate scenarios.

QUALIFICATIONS:

Minimum education and experience required: Master’s degree in Quantitative & Computational Finance, Economics, Data Analytics, Computer Science, or related field of study plus 2 years of experience in the job offered or as Quantitative Research Analyst, Model Validation Analyst, or related occupation. The employer will alternatively accept a Bachelor’s degree in Quantitative & Computational Finance, Economics, Data Analytics, Computer Science, or related field of study plus 5 years of experience in the job offered or as Quantitative Research Analyst, Model Validation Analyst, or related occupation.

Skills Required: Requires experience in the following: Risk neutral valuation; Interest rates curve building; FX linear products pricing, including forwards and non- deliverable forwards; Interest rate swap pricing; Bond pricing; Bond option pricing; Interest rate convexity modeling; Applying statistical analysis to market movement and trade data; Object-oriented programming; Numerical analysis; C++; and Python.

Job Location: 383 Madison Ave., New York, NY 10179

Full-Time. Salary:  $205,000 - $285,000 per year.