Linear Rates QR - $14BN AUM Hedge Fund - NYC
A top global hedge fund is looking to bring on a strong Macro Rates QR to their team. This group will support a brand-new trading pod on the platform that is looking to rapidly grow their team and scale their strategies within the linear rates space.
Sitting directly alongside several high level traders/PMs, this individual will work on the development of analytics for relative value linear rates and rates options trading. As the team progresses and grows this individual will be responsible for the research, development and implementation of discretionary and systematic strategies for the team.
Job responsibilities include:
- Development and implementation of linear rates and rates options analytics
- Pricing library model maintenance, development, and implementation in collaboration with the traders and PMs
- Development and maintenance of trading tools for the trading desk
- Research and implementation of new portfolio optimization tools
- Work collaboratively with senior QR's on the development of alpha strategies
Job requirements include:
- MS/PhD in a quantitative subject, Mathematics, Physics, Statistics, etc.
- Python or C++ programming skills
- 1+ year working on a rates (or fixed income) quantitative desk a modeler, strat or developer
- Background experience in machine or statistical learning a plus
- Strong Plus: Experience working with IR swaps, forward rate agreements, zero coupon swaps (ZCSs) cross-currency basis swaps (XCSs) or single currency basis swaps (SBSs)
