A Tier 1 Investment Bank is looking to expand their Credit Quant team that specifically supports their dynamic market making desk. They are looking for an experienced candidate that has experience developing and implementing models using both mathematical and machine learning methods, including reinforcement learning. This person would be responsible for coming up with ideas and strategies to help improve trading efficiency and manage the entire process from execution to risk management.
Responsibilities:
- Develop pricing models using Monte Carlo methods and partial differential equation solvers
- Develop and implement models into the libraries using a range of tools including C++/C#/.NET, Java, Python,
- Directly collaborate with trading, structuring, technology and risk teams
Requirements:
- Master's or PhD in a quantitative discipline such as Mathematics, Computer Science, Machine Learning, Physics, Operations Research, etc.
- 4-10 years of experience in a quantitative modeling or analysis role applying machine learning techniques (especially reinforcement learning)
- 4-10 years supporting a FI trading desk and ideally Credit (bonds, loans, etc.)
- Strong problem-solving abilities and a solution-oriented mindset
