Fixed Income Quant Analyst

Key Responsibilities

• Work with senior quant to develop, maintain and support the Fixed Income java analytics libraries. Improving the engineering standards and performance of the library code.
• Add support for new products and market conventions. Investigate pricing and risk issues.
• Work closely with software development team on integration of the libraries into the firm's portfolio management systems. Supporting agile, test-driven development and continuous integration.
• Develop indices and systematic strategies linked to rates and other fixed-income instruments. Provide back-testing of systematic strategies and portfolios of strategies.

Experience and Qualifications Required

• M.S./Ph.D. in a quantitative discipline (e.g. math, physics, CS or engineering)
• Solid background in stochastics, probability, numerical analysis
• Strong programming skills, experience with Python, Java or C++
• Knowledge of main instruments in rates and credit
• Ability to work in a team environment, adapt and learn quickly
• Ability and willingness to generate ideas and develop innovative solutions
• Highly organized and able to convey messages clearly and concisely