Overview
Need rates Quant model development/Validation with C++ OR Java (don’t share profiles with only python) candidates with strong in Rates.
VP – 10 + years(relevant 7-8 years into rates quant)
Sr.AVP – 5+ years(relevant 4-5 years into Modelling, Quant and any asset class would do)
– A Graduate or PhD in a quantitative field such as math, statistics, engineering, physics, economics, computer sciences, etc with exposure to stochastic calculus. seeking a Lead Securities Quantitative Analytics Specialist.
In this role, you will:
– Lead complex initiatives with broad impact and act as key participant in large-scale planning for Securities Quantitative Analytics
– We are looking at a Rates Quant with C++/java 8 (Functional Programming) proficiency to cater to the Interest Rates Options Desk.
– Work in our quant library in C++, as needed, to adapt our generic models to specific use cases.
– Understanding valuation of basic products like Treasury Bonds, Interest Rate swaps.
– Collaborate with and support Front office Trading, Technology Partners, and Model Validation/Governance teams.
– Lead complex initiatives with broad impact and act as key participant in large-scale planning for Securities Quantitative Analytics
– Review and analyze complex multi-faceted, larger scale or longer-term business, operational, or technical challenges that require in-depth evaluation of multiple factors including intangibles or unprecedented factors
– Use quantitative and technological techniques to solve complex business problems
– Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation
– Resolve issues and achieve goals
– Make decisions on complex and multi-faceted situations requiring understanding of Securities Quantitative Analytics, policies, procedures, and compliance requirements
– Influence and lead the broader work team to meet deliverables and drive new initiatives
– Lead projects, teams, or serve as a peer mentor
– Collaborate and consult with peers, colleagues, and mid-level senior managers
– Play an integral role to the trading floor
– Develop automated trading algorithms, create cutting-edge derivative pricing models and empirical models, to provide insight into market behavior
– Review and analyze complex multi-faceted, larger scale or longer-term business, operational, or technical challenges that require in-depth evaluation of multiple factors including intangibles or unprecedented factors
– Use quantitative and technological techniques to solve complex business problems
– Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation
– Resolve issues and achieve goals
– Make decisions on complex and multi-faceted situations requiring understanding of Securities Quantitative Analytics, policies, procedures, and compliance requirements
– Influence and lead the broader work team to meet deliverables and drive new initiatives
– Lead projects, teams, or serve as a peer mentor
– Collaborate and consult with peers, colleagues, and mid-level senior managers
– Play an integral role to the trading floor
Required Qualifications:
– 5+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
Desired Qualifications:
– Play an integral role on the trading floor on Interest Rates Options and help solve their problems.
– Participating in model development and deployment
– Participating in model software implementation
– Writing code (in Java 8-functional programming) and refactoring code
– Testing and testing documentation
– Participating in unit testing, large scale Quant testing, pre-integration testing, integration testing, regression testing, UAT
– Participation in issue resolution
– Debugging case preparation (to produce isolated cases to demonstrate the issues) for the Rates Quants
– Debug and conclude data issues/model input issues
– Part of the model documentation
– Production of health monitoring tools
– Participating in the creation, execution and development of Front Office test plans
– Actively participating and contributing to team discussions on project specific areas/assignments
– Maintaining proper documentation of all processes and keeping the code up to date
– Answering ad hoc questions from various stakeholders including US Front Office Quants, populating templates or creating new reports/extracts/results as requested by stakeholders
Job Expectations:
– A master’s or PhD in quantitative fields such as math, statistics, engineering, physics, economics, computer sciences, etc.
– Min 5+ years of relevant experience in Securities Quantitative Analytics, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
– Min 5+ years’ experience in Rates Quant
– Excellent verbal, written, presentation and interpersonal communication skills
– Hands-on experience in programming in JAVA-8(functional programming)
– Good writing skills
– A PhD in Math (Mathematical Finance is a Plus), Physics, Engineering or Computer Sciences is an added advantage
– 5+ years’ experience coding in Java or C++