Responsibilities
- Independently manage, research, develop, maintain both valuation and risk models for fixed income securities, including their derivatives (e.g. swaps, caps, floors, forward rate agreements, options), with a focus on structured securities (CMO, ABS, CLO, etc.).
- Activate new fixed income securities in Java-based analytics systems.
- Lead quantitative efforts with the development team and the quality assurance team to ensure timely releases of Java-based products with enhanced capabilities and the highest quality.
- Provide training and management to other quantitative personnel as needed.
- Provide analytic support and consulting to both internal and external users on issues related to quantitative modeling and valuation of fixed income securities and their derivatives, with a focus on structured securities.
Knowledge and Experience
- Advanced degree (Master's, PhD, or equivalent) in a quantitative field (e.g. mathematics, physics, engineering and finance).
- Advanced knowledge of mathematics, including stochastic processes, partial differential equations, probability theory, and numerical methods.
- Advanced training in statistical inference, time series analysis, machine learning and Monte Carlo simulation.
- At least 7 years of professional experience, with a proven record of managing and leading an analytics research team.
- Strong programming skills in Java, C/C++, Python and SQL.
- Highly motivated and eager to lead in the learning and growth of the team.
- Strong ability to communicate technical ideas and concepts to senior management and colleagues outside the domain on a regular basis
