Vice President - Rates Quant/Model Development

Java AND C++ AND Rates Quant AND Model Development - ALL MUST

Job Description

In this role, you will:

- Lead complex initiatives with broad impact and act as key participant in large-scale planning for Securities Quantitative Analytics

- We are looking at a Rates Quant with C++/java 8 (Functional Programming) proficiency to cater to the Interest Rates Options Desk.

- Work in our quant library in C++, as needed, to adapt our generic models to specific use cases.

- Understanding valuation of basic products like Treasury Bonds, Interest Rate swaps.

- Collaborate with and support Front office Trading, Technology Partners, and Model Validation/Governance teams.

- Lead complex initiatives with broad impact and act as key participant in large-scale planning for Securities Quantitative Analytics

- Review and analyze complex multi-faceted, larger scale or longer-term business, operational, or technical challenges that require in-depth evaluation of multiple factors including intangibles or unprecedented factors

- Use quantitative and technological techniques to solve complex business problems

- Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation

- Resolve issues and achieve goals

- Make decisions on complex and multi-faceted situations requiring understanding of Securities Quantitative Analytics, policies, procedures, and compliance requirements

- Influence and lead the broader work team to meet deliverables and drive new initiatives

- Lead projects, teams, or serve as a peer mentor

- Collaborate and consult with peers, colleagues, and mid-level senior managers

- Play an integral role to the trading floor

- Develop automated trading algorithms, create cutting-edge derivative pricing models and empirical models, to provide insight into market behavior

- Review and analyze complex multi-faceted, larger scale or longer-term business, operational, or technical challenges that require in-depth evaluation of multiple factors including intangibles or unprecedented factors

- Use quantitative and technological techniques to solve complex business problems

- Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation

- Resolve issues and achieve goals

- Make decisions on complex and multi-faceted situations requiring understanding of Securities Quantitative Analytics, policies, procedures, and compliance requirements

- Influence and lead the broader work team to meet deliverables and drive new initiatives

- Lead projects, teams, or serve as a peer mentor

- Collaborate and consult with peers, colleagues, and mid-level senior managers

- Play an integral role to the trading floor

Required Qualifications:

- 5+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education

Desired Qualifications:

- Play an integral role on the trading floor on Interest Rates Options and help solve their problems.

- Participating in model development and deployment

- Participating in model software implementation

- Writing code (in Java 8-functional programming) and refactoring code

- Testing and testing documentation

- Participating in unit testing, large scale Quant testing, pre-integration testing, integration testing, regression testing, UAT

- Participation in issue resolution

- Debugging case preparation (to produce isolated cases to demonstrate the issues) for the Rates Quants

- Debug and conclude data issues/model input issues

- Part of the model documentation

- Production of health monitoring tools

- Participating in the creation, execution and development of Front Office test plans

- Actively participating and contributing to team discussions on project specific areas/assignments

- Maintaining proper documentation of all processes and keeping the code up to date

- Answering ad hoc questions from various stakeholders including US Front Office Quants, populating templates or creating new reports/extracts/results as requested by stakeholders

Job Expectations:

- A masters or PhD in quantitative fields such as math, statistics, engineering, physics, economics, computer sciences, etc.

- Min 5+ years of relevant experience in Securities Quantitative Analytics, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education

- Min 5+ years' experience in Rates Quant

- Excellent verbal, written, presentation and interpersonal communication skills

- Hands-on experience in programming in JAVA-8(functional programming)

- Good writing skills

- A PhD in Math (Mathematical Finance is a Plus), Physics, Engineering or Computer Sciences is an added advantage

- 5+ years' experience coding in Java or C++