VP – Rates Quant Strategist

VP – Rates Quant Strategist

Requirements

• 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
• 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

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

Preferred Qualifications

• Master’s degree in related field or equivalent work experience is preferred