DESCRIPTION:

Duties: Conduct quantitative research and develop software to support pricing and risk management for interest rate derivatives. Design, implement, and optimize mathematical models in C++ and Python to price and manage risk for linear and non-linear interest rate derivatives. Develop and maintain risk engine frameworks to calculate and analyze exposures across interest rate products in developed and emerging markets. Integrate model outputs into the firm's risk infrastructure to support both intraday and end-of-day risk processes. Utilize techniques including risk-neutral valuation, interest rate curve construction, and pricing of FX linear products to address quantitative finance challenges. Create and refine analytical tools for risk management, asset optimization, pricing, and relative value analysis. Apply statistical analysis to market movement and trade data for model calibration and validation. Apply numerical methods in linear algebra, partial differential equations, and optimization to enhance model accuracy and computational efficiency. Produce comprehensive documentation detailing model specifications, implementation testing, and validation procedures to ensure transparency and compliance. Create and maintain documentation for model specifications, calibration methodologies, testing results, and deployment procedures to support regulatory and audit requirements. Ensure interoperability with existing risk systems and optimize computational performance using parallelization, distributed computing, and modern software engineering methods. Develop cross-platform analytics and abstraction layers to ensure compatibility, modularity, and scalability across proprietary systems leveraging advanced object-oriented programming and design principles. Maintain, debug, and improve trader-facing applications used in pricing, trading, and risk monitoring. Review and manage overnight batch pricing and risk processes, resolving technical issues to ensure reliable and accurate execution. Consult with traders and other financial professionals to identify requirements for new or enhanced analytics and to guide the development of quantitative techniques. Collaborate with trading desks to identify risk factors, interpret model behavior, assist with hedging strategies, and implement trader feedback into analytical design. Provide technical leadership and mentorship to junior team members, promoting consistent standards across the risk platform.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Management Information Systems, Computational Finance, Financial Engineering, Computer Science, Mathematics, or related quantitative field of study plus seven (7) years of experience in the job offered or as Quantitative Research, Rates Structuring/Risk/Pricing, Financial Software Engineer, or related quantitative occupation in the financial interest rate derivatives industry.

Skills Required: This position requires seven (7) years of experience with financial software development, focusing on risk management and pricing and working with fixed income products and markets. This position requires five (5) years of experience developing pricing and risk analytics using C++ and Python; and designing & implementing large-scale financial software. This position requires three (3) years of experience with the following skills: Interest rate curve construction methodologies including OIS and LIBOR/SOFR bootstrapping and global optimization; pricing of FX linear products including deliverable and non-deliverable forwards; interest rate swap pricing and valuation techniques; applying statistical analysis to trading and market movement data; numerical methods in linear algebra, partial differential equations, and optimization; mathematics of financial systems, including probability and statistics for financial modelling; risk-neutral valuation of interest rate derivatives; data systems, including SQL and NoSQL, for financial data management; distributed computing and performance optimization for large-scale analytics; risk management platforms such as Athena, Quartz, or SecDB; financial market data platforms such as Reuters Market Data System (RMDS) or similar platform; and integrating analytics into enterprise systems using Java.  

Job Location: 383 Madison Avenue, New York, NY 10179

Full-Time. Salary:  $215,000 - $350,000 per year.