Daily production of measures such as duration, spread duration, weighted average life, and yields is accomplished by using variety of custom in-house and external vendor models. The Quant will not only develop models but also be responsible for model implementation – ensuring that the analysis tools are run accurately and on time – and original research. The original research can range from investigating unusual analytics, to modeling new instruments, to assisting the portfolio managers and risk managers with projects on creating cutting-edge quantitative models of complex securities and of portfolio strategies.
- Research, build, implement, test, and optimize quantitative models for virtually all types of fixed income instruments including derivatives using cutting-edge techniques
- Develop and improve the team’s analytics production engine that runs the quantitative models
- Ensure the timely and accurate production of security analytics
- Perform original research and analyses, both quantitative and qualitative, for fixed income securities and risk issues
- Work with the senior risk managers to identify risk-related information and emerging risk issues
- Work proactively with the portfolio management teams to identify quantitative and risk-related information required to assist in the portfolio management effort. Perform rich-cheap valuation analysis for portfolio management as appropriate
- Work proactively with the client service team to identify risk-related information required to acquire, inform, and retain clients
- Interface with several of the firm’s major proprietary and vendor related systems and applications
- Work closely with other divisions of the firm to accurately and efficiently disseminate analytics information
- Quantitative modeling expertise in areas like Stochastic Calculus, Monte-Carlo Simulation, Term Structure Models, Interest Rate Models, Option Pricing Models (Binomial Trees, Black-Scholes, Greeks etc.), Time Series, Relative Value, Numerical Methods, etc.
- Strong technological acumen and programming: knowledge of 4GL languages like SAS, Matlab, R, SPSS, Advanced Excel/VBA, and SQL required, others like C, C++, C#, Java, preferred.
- Knowledge of Bloomberg, vendor systems like Barclays Point, Citi Yield Book, ADCO, etc. is desired
- Experience working in a fixed income trading or portfolio management group
- Excellent interpersonal skills, including verbal and written communication skills
- Must be professional, detail-oriented, organized, proactive and possess the ability to perform in a fast-paced, high-pressure, team environment