Quantitative Researcher - Systematic Credit
Core
Conduct quantitative research on systematic corporate bond and credit derivatives strategies, developing statistical and structural models to generate alphas and risk factors.
Role type
Quantitative Researcher (Systematic Credit)
Builds
Alpha signals, risk models, and P&L attribution tools for credit strategies
Domain
Fixed Income / Credit Derivatives
Deliverable
production ML models
Required skills
Statistical modeling, structural modeling, numerical optimization, Python (data research packages), object-oriented programming, CI/CD framework, large dataset analysis
Preferred skills
FICC pricing models, credit pricing models, option pricing models
Responsibilities
Independently conduct quantitative research using statistical and structural models; implement fitting tools and organize data; generate alphas, risk and TC models; perform P&L attribution; search for and prioritize new ideas and datasets for alpha potential; improve investment process and infrastructure with portfolio managers, developers, and traders
Seniority
Mid-level, hands-on IC