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Emerging Markets Rates Quant

  • Job type: Permanent
  • Location: New York
  • Salary: US$100000 - US$200000 per year + Front Office Bonus
  • Job reference: 238481/004_1552515862
  • Sector: Selby Jennings, Quantitative Finance
  • Date posted: 13/03/2019

Summary for Rates Quant

A major investment bank in New York City has just gotten approval from the Global Head of Rates to bring on board additional headcount to their front office team. You will be supporting the senior emerging markets traders for the LatAm C++ models.

Responsibilities for Rates Quant

  • Support the traders as a desk strat on application development, risk management, and analytical tools
  • Develop Emerging Markets derivative pricing and analytical models
  • Implement and maintain the credit derivative pricing models in C++
  • Use Monte Carlo simulations to build the most robust models
  • Collaborate with the CRO and risk team on model documentation based on the existing framework to meet the needs of SR11-7 and CCAR
  • Technologies used: C++, Python

Qualification for Rates Quant

  • Applied experience working on a front office Emerging markets team or relevant rates experience
  • Ph.D. in a Quantitative Discipline (Physics, Mathematics, Statistics, Computer Science, etc.)
  • 3+ years of industry C++ skills
  • Expertise in Monte Carlo Simulation, Stochastic Calculus, and Partial Differential Equations
  • Perfect written and verbal communication

If you are looking to be part of this highly driven, expanding team please apply and we will reach out to discuss in further detail.

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