Fixed Income Quantitative Research is looking for a Quantitative Analyst to develop and enhance Global Fixed Income's Counterparty Credit Risk Model. This is a rapidly evolving area of pricing risk management. With the expansion of the credit derivatives markets, counterparty risks are now hedgeable and the business is looking to assess and manage this risk in the same manner as market risk.
We currently support the G10 Interest Rate Derivatives businesses in North America and Europe, as well as the Municipal Derivatives and Commodity Derivatives businesses. The model is being expanded to cover Interest Rate and Commodity Exotics, and the Emerging Markets in Latin America, CEEMEA, and Asia.
The successful candidate will have a PhD or a Masters degree, in addition to at least 1-2 years of relevant work experience. We are looking for an individual with strong quantitative skills, expertise in various markets, strong programming skills, particularly C/C++, and excellent communication skills.
Role and Responsibilities
- Develop pricing algorithms using advanced mathematical techniques such as stochastic calculus and optimization techniques to build and implement pricing models for complex exotic interest rate and commodity derivatives products
- Refine the existing pricing models
- Work with traders to define a hedging strategy and build a risk management system
- Work with salespeople to price structured deals
The successful candidate will join the Counterparty Credit Risk Analysis group, as a quantitative analyst and will gain exposure to many aspects of interest rate, commodity, and credit derivatives pricing and risk management.
- Masters or PhD
- Minimum 3 years experience in Fixed Income or Commodity Derivatives modeling and some exposure to Credit Risk Analytics
- Be able to derive and implement complex quantitative models for pricing and simulating vanilla and exotic products in Fixed Income, Commodity, and Municipal derivatives
- Good quantitative and programming skills in C, Perl
- Team-oriented and able to work closely with the sales and trading desks, financial control, model validation, credit and market risk management
- Good communication skills