Sr. Quant Specialist

Location: NY - New York
# of openings: 1

Description

Position Summary:
The Senior Quantitative Specialist is responsible for designing, developing and testing quantitative pricing and risk models in the fixed income domain.

Principal Responsibilities:
• Assist in identifying fixed income risk issues and providing solutions
• Construct, verify/validate and maintain a library of models to support the fixed income business lines
• Participate in the 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.
Knowledge and Skills Required:
• Strong knowledge with quantitative models such as multi-curve framework, interest rate models and volatility models etc.
• Hands-on experience with model implementations using Monte Carlo simulation, tree method and finite difference method etc..
• Strong knowledge with risk models such VaR, expected shortfall and Greeks and their implementations for fixed income products in a cross asset classes setting etc.
• Familiarity with fixed income asset classes – both plain vanilla types and derivatives - and market conventions, particularly in government securities and Agency mortgage backed securities.
• 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 with at least one of the following tools: R, MatLab or SAS. Experience with SQL programming is a plus.
• Excellent communication and presentation skills.
Education, Training &/or Certification:
• Ph.D in a quantitative discipline
 





Are you a returning applicant?

Previous Applicants:

If you do not remember your password click here.

Back to Search Results

New Search


Powered By Taleo