The Macro Technology Team is seeking a Rates Quantitative Researcher.
The ideal candidate will:
• Build and maintain pricing models for range of products traded in macro business
• Design and implement processes for live calculation of P&L and risk used by portfolio managers
• Support portfolio managers and analysts in building out bespoke tools using in-house analytics
• Design and implement macro data series for use in analysis and back-testing
• Learn about pricing, risk and calibration for various macro products
QUALIFICATIONS & REQUIREMENTS
• Masters’ Degree or higher in a quantitative field. Degree courses in computer science, finance, mathematics, econometrics or other quantitative discipline preferred
• Expert C++ programmer: we use C++17 and would like to move to C++20. Coupled with the ability to produce well-engineered code.
• Programming experience in Python in the context of data analysis, with the ability to test ideas and develop infrastructure for further research
• Understanding and exposure to interest rates swaps, fixed income futures, interest rate options and foreign exchange. Experience in interest rates curves construction methodologies
• Knowledge of statistics, including time series analysis and regressions
• Strong organization skills with the ability to present results clearly and iterate with PMs accordingly
The ideal candidate will be someone who demonstrates:
• Strong desire to work collaboratively with the team
• High standard of professionalism in all dealings with internal staff and any external partners, clients and regulatory agencies
• Problem solving skills and ability to identify and implement appropriate solutions
• Ability to prioritize and manage multiple tasks and projects concurrently to meet/exceed deadline
• Strong written and verbal communication skills
• Outstanding attention to detail and strong organization skills