Job Description

Position Details

Requirement

Role

Senior Quantitative Analyst - Fixed Income and Market Risk

Location (Need Local Candidates only)

NYC, NY (Need local candidates only) (3days Onsite)

Type of Hire - Contract/ C2H

Contract

Salary Range (in USD)

C2C

Job Description

Description

Proven experience in pricing and risk modeling for fixed income trading products, with a focus on leveraged loans.
Strong understanding of model theory, calibration techniques, and dynamics of one-factor interest rate models, including the Hull-White model.
Advanced Python programming skills, with hands-on experience in testing financial models.
Experience with Numerix or comparable vendor-based modeling systems.
Proficient in designing and validating Profit and Loss (PnL) attribution frameworks.
Deep knowledge of market risk concepts and regulatory standards, including Value at Risk (VaR) using historical simulation, model sensitivity analysis (Greeks), and model validation practices aligned with SR 11-7 guidelines.
Demonstrated expertise in model development documentation, and implementation guides.
Excellent communication skills both verbal and written.
Collaborative Team player with a proven track record of taking initiative and delivering results.
Excellent skills with Excel, Word and PowerPoint are mandatory.
Advanced degree (Master's or Ph.D.) in a quantitative discipline such as Finance, Engineering, Physics, Mathematics, Statistics, Computer Science, or Quantitative Finance, with a strong background in modeling.
Minimum of 7-10 years of experience in developing and/or validating trading book market risk models within the financial services industry.

Job Tags

Contract work, Local area,

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