Rates Quantitative Researcher

Rates Quantitative Researcher

Posted 60 Days Ago

The Macro Technology Team is seeking a Rates Quantitative Researcher.

The ideal candidate will:

• Build and maintain pricing models for range of products traded in macro business

• Design and implement processes for live calculation of P&L and risk used by portfolio managers

• Support portfolio managers and analysts in building out bespoke tools using in-house analytics

• Design and implement macro data series for use in analysis and back-testing

• Learn about pricing, risk and calibration for various macro products

QUALIFICATIONS & REQUIREMENTS

• Masters’ Degree or higher in a quantitative field. Degree courses in computer science, finance, mathematics, econometrics or other quantitative discipline preferred

• Expert C++ programmer: we use C++17 and would like to move to C++20. Coupled with the ability to produce well-engineered code.

• Programming experience in Python in the context of data analysis, with the ability to test ideas and develop infrastructure for further research

• Understanding and exposure to interest rates swaps, fixed income futures, interest rate options and foreign exchange. Experience in interest rates curves construction methodologies

• Knowledge of statistics, including time series analysis and regressions

• Strong organization skills with the ability to present results clearly and iterate with PMs accordingly

The ideal candidate will be someone who demonstrates:

• Strong desire to work collaboratively with the team

• High standard of professionalism in all dealings with internal staff and any external partners, clients and regulatory agencies

• Problem solving skills and ability to identify and implement appropriate solutions

• Ability to prioritize and manage multiple tasks and projects concurrently to meet/exceed deadline

• Strong written and verbal communication skills

• Outstanding attention to detail and strong organization skills