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Quantitative Analyst 1

Company: Bracebridge Capital, LLC
Location: Boston, MA
Posted on: July 26, 2018

Job Description:

Working under the direction of Director of Quantitative Research, the

person will be responsible for developing and maintaining an extensive

suite of analytical tools (implemented in C++) used for managing Developed

Markets Rates portfolio. The analyst would need to become intimately

familiar with the existing functionality that allows for pricing of

Vanilla and Exotic interest rate instruments and computing sensitivities

(Greeks) of these instruments with respect to movements in interest rates,

volatilities, correlations and any other applicable risk factors. The

person will collaborate with portfolio managers, desk analysts and members

of the Research Group to develop and implement new models and sensitivity

metrics, and to extend existing analytics to previously-unhandled

instruments. He/she will develop tools for portfolio risk aggregation,

P&L attribution, and scenario and Monte Carlo analysis. In addition, the

analyst will work with PMs to design and implement trading screens and

monitors used in generating trade ideas.

Education and Experience

Master’s degree (or foreign education equivalent) in Financial

Engineering, Applied Mathematics, Mathematical Finance, or a closely

related field and two (2) years of experience in the job offered or two

(2) years of experience in modeling developed markets rates products

within a hedge fund environment.

Skills and Knowledge

Candidate must also possess:

• Demonstrated expertise in financial modeling of interest rate products -

- Vanilla and Constant Maturity Swaps, STIR (short term interest rate)

options, Swaptions and Mid-curves, CMS options -- for pricing, hedging and

risk-management.

• Demonstrated experience with implementation, model-calibration and

interpreting the output of advanced interest rate models -- SABR, SABR-LMM

and SV-LMM -- to price vanilla and exotic instruments, compute their

sensitivities, perform P&L attribution analysis and reconciling the

differences between model-implied and actual P&L, using mathematical and

computational techniques – optimization, integration, Monte-Carlo, PDE,

and Copula.

• Demonstrated expertise in object-oriented programming in C++ as well as

knowledge of design patterns and third-party libraries – QuantLib, Boost

and PostgreSQL —for modular and efficient implementation of financial

models; and in gathering and manipulating market data, building trade

monitors and generating automated reports that present model analytics to

traders and facilitate the portfolio management process, using SQL, C#, R

and MATLAB.

• Demonstrated expertise performing financial modeling and pricing rates

products, and presenting analysis to stakeholders -- quantitative

analysts, portfolio managers and members of senior management -- to inform

investment decisions.

Interested applicants must submit their resumes, with reference to the job

title in the subject line, to: humanresources@brcap.com.

Keywords: Bracebridge Capital, LLC, Worcester , Quantitative Analyst 1, Securities / Investment , Boston, MA, Massachusetts


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