Senior Rates Quant

Job Description and Functions

The function is that of an interest rate quant supporting the specialist portfolio managers for interest rate and FX products, specifically:

• Develop enhancements to the design of C++ libraries for interest rate product pricing and risk management.
• Examples include ongoing improvements to the interest rate and bond curve library, development of models for non-vanilla interest rate products, interface architecture for integration with the wider pricing and risk management systems.
• Develop enhancements to the ecosystem for rapid development of pre-trade analytics used by portfolio managers.
• Mentor more junior members of the team.
• Provide quantitative support and expertise to portfolio managers.

Additional Information

The candidate should be a seasoned interest rate quant, typically with 6+ years of experience either on the sell-side or a strong buy-side organization. The position reports to the global head of Rates, FX, Commodities, and EM Analytics, and will help further the global development of interest rate analytics while enhancing the ability of the group to serve portfolio managers in the Asia-Pacific region. The position is intended to be based in Southern CA. Flexibility to travel is a prerequisite.