Fixed Income Derivatives Modeler

  • Location

    New York City, NY

  • Compensation

    500K+

  • Position Type

    Permanent

  • Employment type

    Full time

  • Updated

    22 Nov 2009

  • eFC Ref no

    358606
Hedge Fund is looking for Fixed Income Quantitative Analysts to join their Risk Management and research group.

Responsibilities: • Calibrate models that support the Fixed Income Derivatives trading desk. Requirements include experience in: • Strong Programming skills(C/C++) and ability to integrate models into existing analytical libraries and trading systems advanced degree in Physics, Applied math, engineering or computer science from a top university. • Knowledge of Statistical packages such as Matlab, Excel, etc. Candidates must have a strong Computer science, programming, mathematics, statistics and quantitative modeling in the area of Fixed Income Derivative Products. Quantitative Analysts must have several years of experience calibrating models for research and trading.

a senior risk position for someone  PhD in economics or finance, or equivalent, with at least 10 to 15 years of experience in MBS (risk analysis, prepayment modeling), strong quantitative and computer skills, and, if possible, credit.

- a more junior position for someone with a quantitative PhD (Economics, Finance, Mathematics or Physics) with several years of experience in prepayment modeling to be a member of the risk management and research group and also help the portfolio managers to simulate their views.
 

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