VP, Rates Quant Strategist

ts or risk types. Key responsibilities include developing new models, analytic processes, or systems approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations include having a broad knowledge of financial markets and products.

The New York Rates Quantitative Strategy Data Group is looking for an individual to join the team. We are a group that is responsible for providing analytical support to all of the NY rates areas including the exotics, options, swaps, governments, agency, repo, structured notes and inflation trading desks as well as support areas such as finance, risk management and middle office. The current position's focus will be on linear rates derivatives.

We are responsible for developing and supporting the pricing and risk models used by the desks, the integration of these models into the Firm's trading systems, analyzing new products and models, helping price transactions, and other ad-hoc requests.

Responsibilities:

• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers

• Supports the planning related to setting quantitative work priorities in line with the bank's overall strategy and prioritization

• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation

• Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite

• Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk

• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes

• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches

• Development of new financial models, analytics and tools to support the linear rates derivatives.

• Development of inflation tools and analytics

• Integration of financial models into Firm systems.

• Tactical support of risk and pricing activities on the rates trading desks.

• Overall support of rates analytics at the Firm

Skills:

• An advanced degree in a quantitative field such as physics, math, finance or engineering is preferred

• Knowledgeable and skilled in analytics modeling and numerical methods.

• Knowledge of stochastic calculus, probability theory and models for pricing rates derivatives products are required.

• Strong programming skills in C++ and Python are required, as is the ability to work in a trading floor environment and communicate effectively.

• Previous work experience in a front office role with a focus on analytic development is a plus.

Minimum Education Requirement: Master's degree in related field or equivalent work experience is preferred

Shift:
1st shift (United States of America)

Hours Per Week:
40

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