Responsibilities:
- Develop rates/derivative pricing, risk and CVA models for rates trading and implement
- Work directly with the rates exotics trading desk and other quant teams across the business
- Conduct research to analyze the models performance
- Assist with LIBOR/SOFR transition initiative
Requirements:
- Masters or PhD in a quantitative field
- 5+ years of experience in front office quant role
- 5+ years of modeling experience and exposure to Rates, XVA, or other FI products
- 5+ years of experience with C++ and/or Python