AVP - Global Markets Front Office - Quant Analytics - Rates Desk

The Opportunity:

Role is within the FICC Quant Analytics domain with the Rates Desk

- Candidate will be expected to work on rates quants tasks within the front office rates quants team

- In the beginning the candidate would be expected to remediate findings issued by the model validation team which may involve making changes to the pricing library, methodology, documentation or extensive analysis.

- Candidate would be expected to gain exposure to the pricing library in the first few months and then be able to take ownership of certain models and certain components of the library

- Candidate will need to get a deep understanding of the pricing library for fixed income and be able to handle questions and queries related to the models. Candidate would also be expected to help the junior quants on many methodology questions

- Candidate will need to apply advanced mathematical and technical concepts (C++, Python) to be able to support the request from stakeholders related to rates model governance.

Qualifications :

Requirements :

- Prior experience of 5-7 years of working as a front office quant or as a model validation quant (preferable on rates or credit) is required.

- Strong mathematical skills and background (preferably PhD or Masters in sciences or engineering or financial mathematics from premier colleges)

- Prior experience of coding in C++ or Java is desirable but not mandatory. Candidate would be expected to work on functional programming in C++ and Python.

- Good team player

What you will need to succeed in the role :

- Understanding of financial mathematics and front office pricing models (rates asset class a big plus)

- Good mathematical skills (Linear Algebra, Convex optimization, stochastic calculus, multivariate calculus)

- Good communication skills

- Candidate must have a basic understanding of OOPS concept which he/she is expected to apply in Python and C++.