MQA - Exotics Rates Quantitative Analyst/Model Developer - VP


: $192,290.00 - $192,290.00 /year *

Employment Type

: Full-Time


: Executive Management

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This Quantitative Analyst is a model developer for exotic rates products in Rates Quant group.

The primary role is to support exotic rates trading business to price structured rates products and manage their risks. The essential skills for this role are needed to develop mathematic pricing models along with various numerical experiences in finding numerical solutions of the developed models as well as to implement the models in computer programs. Some years of experiences in financial industry and good communication skills are also critical to help understand the risks of the products and how the risks are managed by our business in order to develop appropriate models and support the business.


* Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including advanced calculus, mathematical finance/ programming and statistics and probability, C++ including object oriented software design, Python, and etc.
* Develop analytics libraries used for pricing and risk-management
* Develop pricing models using numerical techniques for valuation including Monte Carlo Methods, some discretized numerical algorithms or partial differential equation solvers
* Collaborate closely with Traders, Structurers, and technology professionals.
* Work in close partnership with control functions such as Market Risk, Model Validation Group, Audit, Finance in order to ensure appropriate governance and control infrastructure
* Adhere to all policies and procedures as defined by your role which will be communicated to you
* Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe


* 4-6 years of experience in a comparable quantitative modeling or analytics role, ideally having worked in the similar financial environment
* Must have advanced mathematical background; Stochastic calculus, Statistics and Probability;

understand modern derivative pricing framework developed from no-arbitrage principle;

solve analytical equations and design numerical schemes to provide non-analytical solutions.

* Must have technical/programming skills; C++ is essential, good at python;
* Must also possess good knowledge of some basic products such as swaps, swaptions, caps and floors.
* Consistently demonstrates clear and concise written and verbal communication skills


* master's degree in quantitative area such as math, physics, or engineering, PhD is preferred.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

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Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US

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Time Type :

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Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

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Associated topics: advertise, analyst, business, demand generation, endowment, hospital, newspaper, principle gift, relation, solicitation * The salary listed in the header is an estimate based on salary data for similar jobs in the same area. Salary or compensation data found in the job description is accurate.

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