Rates Quantitative Analyst -VP

About the role

Design, implement, and support advanced stochastic interest-rate models used for pricing and risk management of vanilla and exotic rate derivatives. Partner closely with trading, structuring, and sales teams to deliver quantitative insights that directly support revenue generation and trading strategies. Contribute to global structured rates capabilities through innovation in modeling, analytics, and implementation.

Responsibilities

• Development and implementation of quantitative models and strategies to derive insight into market trends and optimize trading decisions, pricing, and risk management across various financial products and markets.
• Work closely with sales teams to identify clients' needs and develop customized solutions.
• Conduct in-depth research, data analysis, and statistical modeling to derive insights into market trends, pricing, and risk dynamics.
• Provide front office infrastructure support through ownership and maintenance of analytical libraries.
• Provision of expertise on quantitative methodologies, technological advancements, and industry best practices to drive innovation within the trading environment.
• Collaborate with other areas of work for business-aligned support to keep up with business activity and strategies.
• Create solutions based on sophisticated analytical thought, comparing and selecting complex alternatives.
• Adopt and include outcomes of extensive research in problem-solving processes.
• Build and maintain trusting relationships and partnerships with internal and external stakeholders to accomplish key business objectives.
• Manage and mitigate risks through assessment, supporting the control and governance agenda.

Requirements

• Stochastic interest-rate modeling for options, exotics, and structured rates products.
• Expertise in curve construction, volatility surface calibration and modeling (e.g., SABR/ZABR), and multi-factor short-rate models for exotic products.
• Programming skills in C++ and Python for quantitative finance applications.
• Numerical methods, nonlinear analytics, and production-grade library development.
• Quantitative risk management and pricing within front-office environments.
• Deep technical expertise in quantitative methods, mathematical modeling, and computational problem-solving.

Qualifications

• Relevant experience in US rates markets, including swaps, swaptions, caps/floors, and CMS products.
• Knowledge of BMA/SIFMA indices and Total Return Swaps is an added advantage.
• Exposure to the municipal derivatives market is a plus.

Skills

• Stakeholder management and collaboration across front-office functions.
• Clear written and verbal communication for technical and non-technical audiences.
• Thought leadership, intellectual curiosity, and creative problem-solving.
• Ability to translate complex quantitative concepts into business impact.

Vice President Expectations

• Contribute or set strategy, drive requirements, and make recommendations for change.
• Plan resources, budgets, and policies; manage and maintain policies/processes; deliver continuous improvements.
• If managing a team: define jobs and responsibilities, plan for future needs, counsel employees on performance, and contribute to pay decisions.
• For individual contributors: act as a subject matter expert, guide technical direction, lead collaborative assignments, and train/coach less experienced specialists.
• Advise key stakeholders, including functional leadership and senior management, on functional and cross-functional areas.
• Demonstrate leadership and accountability for managing risk and strengthening controls.
• Collaborate with other areas to align with business strategies and goals.

Pay

Minimum Salary: $150,000
Maximum Salary: $225,000
The salary range includes only base salary or base hourly rate; it does not include other types of compensation or benefits.

Location

New York, NY