Fixed Income Quant Researcher
Core
Building advanced analytics, curve fitting, term structure models, and pricing/risk models for mortgages, CMOs, fixed income derivatives, and corporate bonds.
Role type
Senior Associate Fixed Income Quant Researcher
Builds
Production fixed income pricing and risk models (VAR, term structure) for mortgages, CMOs, derivatives, and corporate bonds
Domain
Fixed Income / Financial Markets
Deliverable
production ML models
Required skills
Quantitative mathematics, numerical analysis, C/C++, Python, data processing optimization, model modularization
Preferred skills
Fixed income market knowledge, production integration experience, research/publication experience
Technologies
Python, C, C++, Cloud platforms
Responsibilities
Model and monitor yield curves and term structure models; price fixed income securities; customize data storage and processing; modularize existing model suites; coordinate with developers and data teams on model development
Seniority
Senior Associate, hands-on IC