Rates Quant

Rates Quant

NYC, NY 300K - 500K

The candidate will be responsible for model development and quantitative support of Interest Rates and FX trading desks. Candidate will work very closely with technical traders to build new pricing, risk and market analysis models.

Role & Responsibilities

  • Analytics support of pricing, marking and P&L reporting of FX/IRD Desk
  • Development of new pricing and risk models for FX/IRD Desk
  • Improvement of existing pricing and risk models used by FX/IRD Desk
  • Ensuring structured and consistent growth of Analytics Platform
  • One to six years of quantitative analyst experience at front office interest rates desk
  • Strong C# or C++ programming skills – required
  • Strong communication and teamwork skills – required
  • PhD-level technical educational background (Math/Physics/Computer Science/Engineering )
  • Working experience with modeling vanilla interest rates derivatives products
  • Working experience with modeling exotic interest rates derivatives products
  • Working experience with interest rates curve construction
  • Working experience with modeling FX markets and FX derivatives products




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