Senior Rates Quant

Interest Rate Quant Position

Our client, a prominent Asset Management firm, is looking for a seasoned interest rate quant to help lead enhancements of their analytics for interest rate products and increase support for the Asia-Pacific region.

Required Skill Set

• Strong expertise in stochastic interest rate modelling with a view to pricing, relative value assessment, and risk management of interest rate options
• Strong technical expertise in vanilla interest rate products, particularly with regards to post 2008 pricing adjustments like xccy basis, tenor basis, collateral discounting
• Familiarity with non-USD interest rate markets is very useful, particularly with regards to the Asia-Pacific region
• Strong general quantitative skills, specifically financial mathematics, probability, statistics, econometrics. The candidate should have at least a Master's degree in a quantitative discipline such as mathematics, financial economics, econometrics, physics. A PhD degree would be useful, but is not a necessary condition.
• The candidate must be very comfortable programming in C++ and python
• An emerging markets fixed income background is a possibility for a strong candidate looking to branch out into more developed markets

Job Description and Functions

• Develop enhancements to the design of C++ libraries for interest rate product pricing and risk management. Examples include ongoing improvements to the interest rate and bond curve library, development of models for non-vanilla interest rate products, interface architecture for integration with the wider pricing and risk management systems
• Develop enhancements to the eco-system for rapid development of pre-trade analytics used by portfolio managers
• Mentor more junior members of the team
• Provide quantitative support and expertise to portfolio managers

The candidate should be a seasoned interest rate quant, typically with 6+ years of experience either on the sell-side or a strong buy-side organization. The position reports to the global head of Rates, FX, Commodities, and EM Analytics, and will help further the global development of interest rate analytics while enhancing the ability of the group to serve portfolio managers in the Asia-Pacific region. The position is intended to be based in Southern CA. Flexibility to travel is a prerequisite.