SMBC Group

  • Senior Quantitative Research Analyst

    Job Locations US-NY-New York
    Posting Date 2 months ago(10/5/2018 2:32 PM)
    Career Category
    Information Technology
    Position ID
    2018-0577
    Corporate Title
    VP
    Type
    Full-Time
  • Overview

    This is a position for a junior-to-middle level quantitative analyst.

    The focus is development of the infrastructure for derivative securities pricing, in the area of interest rates (including inflation), credit derivatives and foreign exchange.

    The role resides in the Front office and provides quantitative support in terms of model building, implementation, application building, and documentation as well as pricing and risk management advice to traders and marketers.

    The successful candidate understands the aspects of pricing of FX/interest rates swap/options, and will be able to implement pricers in C++ based DLL and/or in script languages.

    Excellent programming skills in C++ are important. Knowledge of scripting languages (e.g. Python) is a plus.

     

    Responsibilities

    VP level front office quant who will contribute to DPG's vanillas and exotics derivative modeling and pricing effort in interest rate and FX products.
    2. Produce, maintain or extend existing model implementations built in C++/Python/Excel VBA.
    3. Help with Exotic Derivatives pricing: familiarity with the pricing methodology for callable structures is essential.
    4. Create application and user interface with JavaScript/Python/Excel VBA for front desk.
    5. Implement risk reports and processes automation for risk management and operation.
    6. Creating test environment and test case for software quality management, model control and regulatory auditing.
    7. Work as liaison between front office traders and IT team to set requirements and manage direction of front office IT projects.

     

    Qualifications

    1. Master or Ph.D. in Finance or a Quantitative Field of Science or Engineering. Bachelor degree will be considered if candidates demonstrate strong skill in math and programming.
    2. About 2 years of experience in the Financial industry, preferably with a major financial institution in a role related to interest rates products and derivative pricing for front desk.
    3. Solid background in applied mathematics especially in understanding of stochastic calculus, derivative pricing theory and numerical methods such as Monte Carlo or partial deferential equations.
    4. Solid programming skill in C++ or other complied language. Having working knowledge of either Microsoft or Linux development environment.
    5. Knowledge of scripting language, Linux, Docker, Cloud computing is a plus.

     

    Required Skills/ Abilities:

    1. Ability to effectively communicate abstract ideas to the front desk, as well as ability to produce technically accurate and effective documentation on the models developed.
    2. Ability to interact with the Trading Department on ad-hoc issues involving derivatives pricing, volatility calibration and curve building.
    3. Ability to understand and troubleshoot pricing / risk management problems in a rapidly expanding group of professionals.
    4. Quick learner and hands-on team player with open mind to new technologies.

     

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