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Credit High Touch Quant Role - VP/ED level

Employer
Anson McCade
Location
New York, USA
Salary
performance based bonus
Closing date
Jul 29, 2023

View more

Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Credit High Touch Quant Role - VP/ED level

NYC based

Our client is looking for an experienced Quant to join the Credit Quantitative Research team which will focus on covering the High Touch Credit business. This opportunity will focus on pricing models, delivery of analytics and ensuring that the QR team is providing an effective toolkit to high-touch trading so that they can preserve their dominant position in the market. The role will span all aspects of QR coverage, but there will be particular emphasis on the delivery of "added value" analytics, i.e. tools that can move the needle in terms of added profitability or increased market share.

Responsibilities:
  • Identifying areas where you can positively contribute to improve the quality of the market making activity from the high-touch desk. This means: proposing relative value indicators, help them identifying efficient hedging strategies, help with their price formation logic
  • Liaising with trading and especially with individual operators in order to ensure that their needs are properly captured in the book of work
  • Explaining model behaviour, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics
  • Ensure that all the ideas are documented, and either directly implement the solutions they propose or liaise with the broader team in order to achieve this
  • Writing model documentation compliant with internal and regulatory standards
  • Working with model control teams to facilitate timely and efficient review and approval of models
  • The role will be operating in a very dynamic environment which can be occasionally undergo some pressure due to situations developing in the market

Requirements:
  • An advanced degree in math, statistics, physics, financial engineering, computer science
  • Be able to demonstrate solid experience (ideally 5+years) supporting a credit market making desk or the same amount of time partially spent on sell-side and buy-side firm
  • Demonstrate a combination of a good knowledge of the credit business, a very structured mathematical approach to problem solving, as well as knowledge about the software development process
  • Able to interact with a lot with other sub-teams within Credit QR - can be framed as directly part of the Credit Data & Algo team or it can be a separate position within Credit QR
  • Demonstrate prior knowledge of quantitative modelling and risk neutral pricing as the role is expected to deal with derivatives pricing as well as securities
  • Bring exceptional analytical, quantitative and problem-solving skills
  • Demonstrate a knowledge of credit products and models
  • Proficient in software design and data science, preferably with some C++ and Python knowledge and experience
  • Demonstrate prior experience and knowledge with corporate bonds, ETFs, vanilla credit derivatives, index options and algo pricing techniques
  • Demonstrate a strong interest in good software design principles

Preferred requirements:
  • A Ph.D. in a numerate subject from a top academic institution is a plus, but not an absolute requirement
  • Excellent oral communication skills are required in our interaction with trading, technology, and control functions
  • Excellent written communication skills are also required for meeting the high standards of the model documentation

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