AVP Quantitative Analyst – Interest Rates
Tier 1 Investment Bank
Location | New York
A new and exciting role working as a Quantitative Analyst covering interest rate products has emerged in New York within a tier 1 Investment Bank looking to expand their team. The successful candidate will be given a great deal of responsibility from day one and will be instrumental in trade approval. Due to the demand for their services, this team has doubled in size and the heads of the business have outlined a plan for continued expansion through 2012. This role will report in to the ED of the group and will be a management role and helping to lead the group and implement the plans laid out by the heads of the business.
Desired Skills & Experience:
- Helping to implement the plans laid out by the heads of the business
- Developing and implementing quantitative models to validate different trading strategies.
- Implementing quantitative articles in C++ and SQL, dealing with volatility spreads and the modelling of implied volatility and other advanced mathematical models.
- Writing up new products from term sheets, risk reports and integrating them into the global booking system.
- Previous experience in a risk quant or desk quant role.
- Must have an MSc or PhD in highly quantitative field
- Excellent level of advanced mathematical theory such as stochastic calculus, black scholes, PDE Modelling and large scale Monte Carlo simulations
- Knowledge in visual C++/C, Java, SQL Matlab is valued
- Strong communication skills
The team has outstanding bonus opportunities, based on high performances.
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