Quant Analyst, Credit Derivatives, (VP), New York

Our client, a leading global Investment Bank, trades across the world’s most dynamic markets with a reputation for state of the art technology, seeks to hire an experienced Credit Derivatives Quant to focus upon model development for Flow & Structured credit products globally. Their Quant team offers a full suite of fixed income, currencies, equities and capital markets solutions.  Based in the New York City, you’ll work with highly talented Quants & Traders and gain deep exposure to the asset class. 

KEY RESPONSIBILITIES:

• Develop models for the pricing and risk management of credit derivative products.
• Work closely the Desk to develop models for trading, risk, quant strategies, to drive revenue
• Develop models and tools for flow and structured credit products.
• Scope and complete projects with a high degree of autonomy
• Provide support on quantitative issues to Traders, Marketers, IT, & Risk
• Build out library functionality and implement models in C++

KEY SKILLS & EXPERIENCE:

• Minimum 4 yrs in a related role developing models for pricing of Structured or Flow credit
• Strong knowledge of numerical methods, stochastic calculus, & probability theory
• Good programming in both C++ and Python
• Strong interpersonal skills for a highly collaborative team culture.
• PhD or Masters in a quantitative discipline - able to understand & apply good research

DESIRABLE:

• Some of the following:  Index CDS, Bond Forwards, CD Swaptions, Bermudan CD Swaptions, Leveraged notes, Credit-IR hybrids, i.e. Credit-linked version of IR exotic trades, such as Callable range accrual trades)
• Able to discuss issues like: Stochastic correlation, Callable bond modelling, Index basis volatility?
• Client is open to hybrid working.