Snr Cross Asset Rates/FX, Credit Quant, Large Hedge Fund (VP/Dir), NYC
$$$ Excellent Package
Leading Asset Management Firm
Rates, FX & Credit Derivatives, Cross Asset, C++, SQL
This leading Asset Management Service firm has over 300 staff and offices in London, Hong Kong, and New York. Their Quant team develop and enhance the core Quant analytics library (written in C++) and provide front office tools for traders/PMs. Their platform is considered an industry leader in trading analytics, risk analysis and operational robustness, delivering pricing, scenario, risk and P&L for their portfolios and the ability to structure and overlay new positions. This is an exciting opportunity to join a rapidly growing business with a strong track record.
- Play an integral role in leveraging the analytics and front end to build-out a market leading system for Fixed Income asset management
- Apply your deep knowledge of Rates markets and modelling
- Deliver tools & analytics to price and risk Macro products, & focus on Rates & Credit non-linear products (Bermudans , callables, structured products, credit hybrids etc.) using LMM, SABR, Cheyette, Vanilla models.
- Build out library functionality for valuation, risk, scenario, for a wide range of OTC and listed derivatives as well as some cash products in G10 and EM
- Lead a small team of quants
KEY SKILLS & EXPERIENCE:
- 5-10 yrs+ experience in quant research and one other asset class quant research (e.g. swaptions, callables, structured products, FX, Equity, etc.)
- Deep knowledge of and passion for derivative analytics & markets, PDEs, stochastics
- PhD or Masters in a quantitative discipline
- Experience gained in a bank's front office, model val or in a fund
- Confident working with C++, with good SQL, Excel
- Ability to communicate with PMs/traders.