Rates Structured Notes Quant Analyst, (Dir)

New York, London or Toronto
Ref: RSNQ-3008
Up to $500K total
Major Global Investment Bank
Exotics: Accreting Notional Bermudans, Callable Zero-coupon Bonds, CMS spreads, Range accruals

The global Quant Research group at this leading Investment Bank develops models to price and hedge derivatives & hybrid products. We seek an experienced Exotic Rates Quant (VP or Dir), to work with talented traders & quants in developing a range of Exotic Rates products including: Accreting Notional Bermudans, Callable Zero-coupon Bonds, CMS spreads, Range accruals, etc.

KEY RESPONSIBILITIES:

  • Develop, implement and test models for Accreting Notional Bermudan swaptions, CMS spreads, range accruals, Zero coupon callable notes
  • Support Structured Notes Traders
  • Sit with traders, understand their problems and provide solutions
  • Implement models into the common C++ Library, FO booking system
  • Ensure compliance with regulatory & compliance requirements

KEY SKILLS AND EXPERIENCE:

  • 5 to 10 years' experience as a Quant with C++
  • Knowledge of Exotics to include: Accreting Notional Bermudans, Callable Zero-coupon Bonds, CMS spreads, Range accruals
  • Strong C++ and good experience of a managed Pricing library
  • Fluent in English
  • Master Degree or PhD in Financial Maths, Financial Engineering, or Scientific discipline