• USD100000 - USD200000 per annum + +Bonus
  • New York, NY, États-Unis
  • CDI, Plein-temps
  • Selby Jennings Structuring
  • 2018-06-12

Credit Quant

  • Lieu de travail : New York, NY, États-Unis
  • Salaire : USD100000 - USD200000 per annum + +Bonus
  • Type de contrat : Plein-temps

Summary for Credit Quant A major investment bank in New York City has just gotten approval from the Global Head of Credit to bring on board additional headcount to their front office team. You will be working alongside the senior members of the team on the development and maintenance of their credit C++ libraries, working on forward contracts, swaps, and options on this nimble team.

Summary for Credit Quant

A major investment bank in New York City has just gotten approval from the Global Head of Credit to bring on board additional headcount to their front office team. You will be working alongside the senior members of the team on the development and maintenance of their credit C++ libraries, working on forward contracts, swaps, and options on this nimble team.

Responsibilities for Credit Quant

  • Develop credit derivative pricing and analytical models

  • Implement and maintain the credit derivative pricing models in C++

  • Use Monte Carlo simulations to build the most robust models

  • Support the traders as a desk strat on application development, risk management, and analytical tools

  • Collaborate with the CRO and risk team on model documentation based on the existing framework to meet the needs of SR11-7 and CCAR

  • Products include: CDO, CLO, CMO,CDX, and various other credit derivatives

  • Technologies used: C++, Python


Qualification for Credit Quant

  • Applied experience working on a front office XVA team or relevant experience with counterparty credit risk

  • Ph.D. in a Quantitative Discipline (Physics, Mathematics, Statistics, Computer Science, etc.)

  • 3+ years of industry C++ skills

  • Expertise in Monte Carlo Simulation, Stochastic Calculus, and Partial Differential Equations

  • Perfect written and verbal communication



If you are looking to be part of this highly driven, expanding team please apply and we will reach out to discuss in further detail.

New York, NY, États-Unis New York NY US