Our Credit Quantitative Research team is searching for a Quant to support the firm’s Treasury and Chief Investment Office (CIO) globally business.

The Credit team is responsible for developing and maintaining models for valuation, risk, PL calculations, as well as quoting and market making algorithms and analysis tools for the Global Spread business. The responsibilities of the team span the full range from new model specification, going through model approval, ensuring compliance with internal policies and industry regulations, implementation of model in library, to integration into risk and PL systems.

Job summary:

As a Quantitative Research Associate in our New York Credit QR team, you will you have the opportunity to join our New York Credit QR team, with a focus on Treasury and Chief Investment Office coverage. This involves adapting and creating pricing models and infrastructure for municipal bonds and corporate bonds. Your new role will span across all aspects of QR coverage, from the mathematical modelling to the development of model evaluation platforms in our risk system.

Job responsibilities:

• Developing and improving models for the pricing and risk management of corporate bonds, municipal bonds and related derivatives and inter-company transactions
• Writing model documentation compliant with internal and regulatory standards
• Working with model control teams to facilitate timely and efficient review and approval of models
• Liaising with business functions as well as other quantitative research and control teams
• Explaining model behavior, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics

Required qualifications, capabilities, and skills:

• An advanced degree in math, statistics, physics, financial engineering, computer science or other quantitative fields
• Exceptional analytical, quantitative and problem-solving skills
• Excellent written and oral communication and interpersonal skills
• Strong software design and development skills, preferably with some C and Python knowledge and experience
• Pro-active attitude - you should have a natural interest to learn about our business, models, and infrastructure

Preferred qualifications, capabilities, and skills:

• Knowledge of fixed income markets, in particular credit products and models, is a plus, but is not a strict requirement
• Ability to work in a high-pressure environment
• Prior knowledge of quantitative modeling and risk neutral pricing is a plus
• Attention to detail and focus on quality of deliverables
• Graduate/post-graduate from a premier college or institute. A computer science or mathematics background will be most suitable
• Prior experience and knowledge with option pricing theory, in particular Bermudan/American option, swaption, callable bond is a plus
• Pro-active attitude - you should have a natural interest to learn about our business, models, and infrastructure