Interest Rate Strat - Fixed Income - Associate / Vice President
Core
Quantitative strategist supporting US Swaps trading desks with pricing, valuation, hedging, and risk management for interest rate products.
Role type
Associate / Vice Principal Quantitative Strategist (Fixed Income)
Builds
Data-driven analytics dashboards, intraday risk management systems, and P&L monitoring tools for trading desks.
Domain
Fixed Income / Interest Rate Derivatives / Swaps
Deliverable
production ML models | product features | dashboards & analysis
Required skills
C++, Scala, Python, KDB+/Q, yield curve modeling, calculus, linear algebra, statistics, numerical methods, scenario analysis, stress testing, sensitivity analysis
Preferred skills
Fixed-Income Derivatives expertise, curve building, collateral management, optimization, statistical/econometric analysis, large dataset handling
Technologies
C++, Scala, Python, KDB+/Q
Responsibilities
Conduct research and enhance yield curve modelling; optimize and modernize trader tooling and market making process; develop data driven analytics dashboards; partner with IT to build intraday risk management and P&L systems; provide quantitative insights on PnL and risks including scenario and stress testing; liaise with control functions on quantitative issues.
Seniority
Associate (entry-mid level) / Vice President (senior IC with mentorship)