| Job Information |
Our client, a leading global Investment Bank, is seeking a Quantitative Analyst to join their Interest Rate / Municipal Derivatives institutional sales and trading team based in NYC. This role is based on the trading floor.
Key Responsibilities:
- Support the modeling requirements of the trading staff
- Research, develop and implement mathematical models for the pricing of derivatives and cash products
- Develop fully functional spreadsheet prototypes and other tactical analytical applications for trading and sales
- Ensure that all models developed are fully and properly integrated into the quant libraries
- Coordination with global middle-office and global risk management departments when submitting front-office developed models for vetting and use in the firm’s risk management framework
- Maintain and improve existing pricing tools and operational framework
- Develop and implement tools to support trading and risk management activities
- Identify operational risks and control deficiencies in the business
- Promptly escalate operational risk loss events, control deficiencies and other related risks to management
- Review and comply with firm policies and procedures applicable to business activities
- Perform special projects related to pricing models, trades, and risk management
Key Requirements:
- Master’s Degree in Quantitative Finance, Econometrics, Financial Engineering or related quantitative discipline required
- PhD preferred, but not required
- 3-6 years Front-Office Quantitative Analysis experience on the trading floor of a major global financial institution required
- Strong mathematical and computing knowledge required
- In-depth knowledge of derivatives and financial products for trading, pricing and risk management
- Solid knowledge of flow interest rates, vanilla rates derivatives, complex rates products and cash products
- Knowledge of municipal derivatives and associated modeling approaches to their pricing and risk management
- Advanced mathematical knowledge, including stochastic calculus
- Advanced numerical and analytical programming skills in C++
- Extensive spreadsheet experience including VBA programming
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