The applicant will join the Securities Division Quantitative Strategies Team. We are looking for candidates with credit products modeling/programming/development background to support the modeling libraries and work closely with technology to integrate and support them into production.
- Develop and implement models supporting the Spread Trading business, and produce high quality model documents that satisfy model validation and regulatory requests
- Collaborate with and support Front office Trading, Technology Partners, and Model Validation/Governance teams
- Leadership on mathematical modeling issues, but in a broader context as in the next steps.
- BAU desk pricing, planning and analytics support. This includes desk communication and prioritization, understanding business needs, communicate strongly and be able to interact with a number of external groups effectively: Model Validation, Market Risk, etc
- Development of the Quant libraries. This includes reviewing code from her/his direct reports and other team-members, interacting and communicating effectively with technology partners, and being able to provide insight in library design issues.
- Mentoring junior quants in the team: we need a strong role model in terms of solid engineering, clear communication and team building attitude.
In this role, you will:
- Lead or participate in moderately complex initiatives and deliverables within Securities Quantitative Analytics
- Contribute to large-scale departmental planning
- Combine mathematical programming and market expertise to build and generate systematic strategies
- Review and analyze moderately complex business, operational, or technical challenges within Securities Quantitative Analytics that require an in-depth evaluation of variable 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 moderately complex issues independently
- Lead team to meet deliverables while leveraging solid understanding of Securities Quantitative Analytics policies, procedures, and compliance requirements
- Collaborate and consult with peers, colleagues, and mid-level managers to resolve issues and achieve goals
- Lead projects, teams, or serve as a mentor for less experienced staff
- Play an integral role to the trading floor
Required Qualifications, US:
- 4+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
- 4+ years of experience in capital markets, industry experience within the specific sector of the position, or a combination of both
- 3+ years of quantitative development experience
- 3+ years of C++ experience
- Masters degree or higher in a quantitative field such as applied math, statistics, engineering, physics, economics, econometrics, computer sciences, or business, social and behavioral sciences with a quantitative emphasis
- Excellent verbal, written, and interpersonal communication skills
- Good verbal, written, and interpersonal communication skills
- Knowledge of financial mathematics, such as stochastic calculus
- Knowledge of capital market and derivatives products
- 3+ years of spread products (which include securitized, credit and municipal products) modeling experience
- Python development experience