Snr Quant Analyst, Credit Derivatives, Large Hedge Fund, (VP, Dir) NYC
$$$ Excellent package
Large Hedge Fund & FinTech
CLOs, Loans, Corporate bonds, Index Tranches, etc., C++
This leading Asset Management Service firm has over 300 staff and offices in London, Hong Kong, and New York. Their Quant team develop models, analytics 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.
You will play an integral role in further developing our analytics for credit cash and derivative products and associated analysis tools to meet the needs of client portfolio managers.
- Play an integral role in leveraging the analytics and front end to build-out a market leading library and risk, PnL system for Flow Credit
- Apply your deep knowledge of Credit Derivatives, Markets & modelling
- Build out library functionality for valuation, risk, scenario analysis
KEY SKILLS, EXPERIENCE:
- 4-10 years' experience as a Credit Derivatives Quant including, e.g., CDS, CDS Index Options, Index Tranches, Bespoke Tranches, Corporate bonds, Loans, etc.
- Deep knowledge of and passion for derivative analytics & markets
- PhD or Masters in a quantitative discipline
- Confident working with C++
- Good SQL, Excel (some C# but not essential)
- Experience working with the front-office
- Ability to communicate with PMs/traders.
- Able to discuss issues such as:
- CDO correlation models with stochastic correlation?
- Callable bond modelling: what model would you use?
- Index basis volatility?