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Rates Quantitative Strategist

  • Job type: Permanent
  • Location: New York
  • Salary: US$250000 - US$400000 per year
  • Job reference: 316121/001_1558029524
  • Sector: Selby Jennings, Investment banking
  • Date posted: 16/05/2019

I'm working on an exclusive opportunity with a top-tier investment bank as they're urgently looking to expand their IR/FI Global Quant Team. Due to continuous success across their Flow Fixed Income Products desk the business is looking for an experienced Quantitative Strategist to come on board ASAP.

Responsibilities include:

  • Develop pricing and trading models for Flow FI products desk
  • Write efficient implementations of the models in the global Quant team C++ library
  • Participate in testing of implementations and back testing of effectiveness of models
  • Work closely with trading desks to develop and improve pricing and risk management tools
  • Be at the forefront of new pricing and risk calculation methods to adapt to market and regulatory environment changes

Requirements:

  • Background in linear rates products (bonds, swaps)
  • IR curves
  • Developing quant models/strategies,
  • Programming in Python and C++
  • MS or PhD (preferred) in a STEM field or Finance & Economics