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This role is centered on the design, implementation, testing, and deployment of rate and spread product models within the client's current and future analytical environments, with a significant focus on securitized products. The successful candidate will leverage their strong quantitative skills and programming expertise to deliver robust analytical solutions and provide critical support to trading, risk management, and product control teams.
Job Responsibility:
Designing, implementing, testing, and rolling out rate and spread product models, particularly those related to securitized products, into the analytical environment
Assisting traders, risk managers, and product controllers in understanding the models and interpreting model outputs
Preparing detailed model documentation and managing validation submissions to ensure regulatory and internal compliance
Tracking and reporting on model performance post-implementation
Requirements:
A Ph.D. or Master’s degree in a quantitative field such as mathematics, statistics, physics, or computer science
5-9 years of relevant industry experience
Solid knowledge of financial instruments and derivatives, including securitized products, bonds, IR swaps, futures, and options, as well as related pricing and risk management models
Proficient in at least one of the following programming languages, which will be used for model implementation and analytical tasks: Python (preferred)
C++
C#
Excellent analytical skills and demonstrated ability to be a fast, self-motivated learner who takes ownership of projects and deadlines
Nice to have:
Knowledge of financial software packages such as QRM, PolyPaths, and Intex is a plus
Broad knowledge of financial markets and regulations
Experience in asset liability management (ALM)
What we offer:
Excellent opportunity to take ownership of key analytical projects in a dynamic financial setting
Impactful Work: Design and implement core rate and spread product models, heavily focusing on securitized products
Exposure: Direct collaboration with traders, risk managers, and product controllers
Growth: Enhance your expertise in quantitative finance, model documentation, validation, and performance tracking
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