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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

• 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

• 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:

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

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