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Associate/VP Credit Derivatives., London and New York
- UK - City of London - London and New York
- Highly Competitive
- Full-Time Permanent
- Financial Services - Research
- 03-09-08
Job Description
My client a US hedge fund is seeking an exceptional Quantitative analyst for a Credit derivatives modeling position.
With over $4bn AUM this fund is globally recognized and well renowned for its highly efficient trading platforms.
The incumbent will be integrated into the front office Credit Quant team, working closely with the traders and structurers, developing and implementing original models for use by the desk.
Responsibilities
· Develop valuation/risk models including model conceptualization, C++ library, Excel toolkit for model access, and coordination with model validation, product control and IT.
· Covering products: Single name and basket CDS/CLN, CDX options, sovereign bond options, Quanto-CDS, Extinguishable cross-currency swap, CLN with structured coupon (CMCDS and range accrual), callable CLN, local currency CLN, FX/CDS hybrid CDO; Non-payment insurance; Non-recourse financing of EM bonds; back-stop options, asset swap, liquidity swap, hybrid bonds with extension options, C-CDS.
· You will also develop Classical loan-level statistical models for prepay/default/delinquency/severity; interest rates and HPA dynamics; securitization of sub-prime and emerging market mortgage (Intex Dealmaker/Desktop/API and proprietary analytics), CDS on ABS, ABX, total return swap on CMBS indices, mortgage servicing rights, balance-guarantee swap. Also cover full range of alt-A, jumble, agency and CMBS products.
· Identifying, researching, developing prototype and maintenance of new and existing credit derivatives models with the rest of the team.
· Prototype and validate pricing and risk measurement methodologies.
· Review and improve valuation methods for existing products.
· Investigate and resolve modeling queries, arising from the use of the Pricing and Risk Management systems.
· Participate in the implementation of enhanced methodologies within the Pricing and Risk Management systems.
· Provide support to the business/traders in London and New York
The candidate may adhere to the following criteria:
· Excellent mathematical background.
· Educated to PHD or Masters level (or equivalent) in a numerical discipline i.e. Physics/Mathematics or similar discipline.
· Theoretical knowledge of advanced interest rate pricing models will be expected.
· Experience of quantitative modeling.
· Pricing model development in C or C++ and numerical implementation will be highly valued.
· Excellent communication skills.
· Strong team player skills and team ethic.
· Ability to work under pressure.
Please apply to jobs@selbyjennings.com with CV in Word format.
www.selbyjennings.com
With over $4bn AUM this fund is globally recognized and well renowned for its highly efficient trading platforms.
The incumbent will be integrated into the front office Credit Quant team, working closely with the traders and structurers, developing and implementing original models for use by the desk.
Responsibilities
· Develop valuation/risk models including model conceptualization, C++ library, Excel toolkit for model access, and coordination with model validation, product control and IT.
· Covering products: Single name and basket CDS/CLN, CDX options, sovereign bond options, Quanto-CDS, Extinguishable cross-currency swap, CLN with structured coupon (CMCDS and range accrual), callable CLN, local currency CLN, FX/CDS hybrid CDO; Non-payment insurance; Non-recourse financing of EM bonds; back-stop options, asset swap, liquidity swap, hybrid bonds with extension options, C-CDS.
· You will also develop Classical loan-level statistical models for prepay/default/delinquency/severity; interest rates and HPA dynamics; securitization of sub-prime and emerging market mortgage (Intex Dealmaker/Desktop/API and proprietary analytics), CDS on ABS, ABX, total return swap on CMBS indices, mortgage servicing rights, balance-guarantee swap. Also cover full range of alt-A, jumble, agency and CMBS products.
· Identifying, researching, developing prototype and maintenance of new and existing credit derivatives models with the rest of the team.
· Prototype and validate pricing and risk measurement methodologies.
· Review and improve valuation methods for existing products.
· Investigate and resolve modeling queries, arising from the use of the Pricing and Risk Management systems.
· Participate in the implementation of enhanced methodologies within the Pricing and Risk Management systems.
· Provide support to the business/traders in London and New York
The candidate may adhere to the following criteria:
· Excellent mathematical background.
· Educated to PHD or Masters level (or equivalent) in a numerical discipline i.e. Physics/Mathematics or similar discipline.
· Theoretical knowledge of advanced interest rate pricing models will be expected.
· Experience of quantitative modeling.
· Pricing model development in C or C++ and numerical implementation will be highly valued.
· Excellent communication skills.
· Strong team player skills and team ethic.
· Ability to work under pressure.
Please apply to jobs@selbyjennings.com with CV in Word format.
www.selbyjennings.com
- The Team
- bnvnbmbmnmnbm
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