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

New York
Ref: QACR-2810
Total to $400k + Benefits
Top-tier Investment Bank
Flow & Structured Credit, CDS, CLNs, Lev loans, Credit Hybrids, Options, CLOs

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. 


  • 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++


  • 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


  • 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.