Credit Derivatives Quant - VP/D level

NY based

Our client is a top global hedge fund that are assembling a strong Quant Technology team to build the next generation in-house analytics and trader support tools. This team will develop and maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business. They provide a dynamic and fast-paced environment with excellent growth opportunities.

Responsibilities:

• Working closely with Quants across various locations to research and develop pre-trade analysis tools and risk analytics for the in-house pricing library with primary focus on Credit Derivative products.
• Participate at support and development of pricing models in other asset classes, include Interest Rate, FX.
  

Requirements

• 4-7 year experience with corporate credit analytics:
  
  • Advanced corporate bond pricing & modelling (callable / puttable bond, etc)
  • Experience with US municipal bonds pricing
  • Credit index swaps curve bootstrapping.
• Understanding of the credit ETF market (flow, redemption / subscription, ETF versus basket basis trade, etc) is a plus.
• Knowledge of other asset classes, including Interest Rate, FX is a plus.
• Strong analytical and mathematical skills
• Strong problem solving capabilities
• Substantial modern C++ programming experience
• Solid communication skills
• Able to work independently in a fast-paced environment.
• Detail oriented, organized, demonstrating thoroughness and strong ownership of work