Non-Linear Rates & Structured Notes Strat
Core
Develop and implement strategic analytics platforms for intraday and end-of-day pricing, risk, and P&L management for Rates Issuance and Financial Resource Management desks.
Role type
Associate quantitative strategist (structured notes & rates)
Builds
Strategic Kannon platform (C++/Python) for pricing, risk, and P&L
Domain
Financial services, rates issuance, structured notes
Deliverable
production ML models | product features
Required skills
quantitative modelling, pricing, risk management, C++, Python, interest rate curve calibration, volatility modelling, front-office risk and P&L calculation
Preferred skills
experience developing banking applications, large-scale projects
Technologies
C++, Python
Responsibilities
Partner with Trading, Structuring, Technology, and Operations to build strategic analytics platforms; Implement Structured Notes pricing and risk management tools; Analyze, design, and develop analytics for the desk within the Kannon platform; Support business-driven opportunities with quantitative ideas; Foster a collaborative environment by mentoring junior team members
Seniority
Associate, hands-on IC