Executive Director, Front Office Rates Quant
Core
Design, develop, and implement advanced quantitative models and tools for interest rates risk management, trading, and pricing within a holistic cross-asset platform.
Role type
Senior Lead Securities Quantitative Analytics Specialist (Executive Director level)
Builds
Production quantitative models for linear/non-linear rates products, hybrids, exotics, repack structures, and stochastic funding models integrated into a cross-asset risk and trading platform.
Domain
Corporate & Investment Banking (CIB), Interest Rates, Derivatives
Deliverable
production ML models
Required skills
Securities Quantitative Analytics, Rates/Macro products, Numerical optimization, Term structure modeling, Stochastic volatility modeling (SABR), Stochastic funding models, Software design and implementation, Agile SDLC
Preferred skills
Hybrid/exotic/repack instrument pricing, Sales and Trading front office experience, Mentorship
Technologies
C++, Java, Python
Responsibilities
Design and implement quantitative models for pricing, risk management, and trading strategy; Develop optimization-based curve construction and multi-curve frameworks; Calibrate stochastic funding models; Collaborate on robust software design and performance optimization; Provide model support and troubleshooting to the trading desk; Mentor junior team members.
Seniority
Senior, hands-on IC with leadership responsibilities
