Desk Quant - Macro Rate
Core
Front Office Desk Quant supporting Macro and Relative Value investment strategies by developing pricing, risk, and valuation methodologies for Rates products.
Role type
Front Office Desk Quant (Rates/Macro)
Builds
Pricing models, risk analytics frameworks, and decision-support tools for investment and trading.
Domain
Financial Services / Fixed Income / Rates
Deliverable
production ML models
Required skills
Python, Rates products (swaps, swaptions, yield curves), pricing models, risk methodologies, statistical analysis, factor models, PCA, backtesting, market risk analytics (VaR, P&L attribution)
Preferred skills
Macro/Relative Value strategies, curve trading, spread trading, systematic research frameworks, financial market data APIs, relational databases
Technologies
Python, Excel
Responsibilities
Partner with Portfolio Managers and Traders to research and validate investment strategies; Develop and enhance pricing, risk, and valuation methodologies; Design and maintain quantitative models for risk analytics and P&L attribution; Research quantitative investment signals using statistical techniques; Build and maintain back testing frameworks; Investigate pricing and P&L discrepancies; Prototype analytical tools before production implementation; Present quantitative research findings to investment professionals.
