Location: New York,NY, USA
Main Purpose of the role:
To contribute to the general development of the Bank multifunctional in-house quantitative solution, with focus on pricing, risk, model calibration and market data processing.
Role:
In this role, you will be working across our banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.
Initial responsibilities will include:
Analyzing desk sensitivities (risks) and attribution of PnL, proposing improvements and implanting changes in libraries and tools.
Improving the internal market data model for certain data types
Improving tools used by traders.
FX Pricing and Hedging Algorithms
Contribute to development and maintenance of eFX trading systems
Contribution to the effort to remove unused features and dependencies from internal libraries and tools.
Contribution to documentation and validation of models.
Functional / Technical Competencies:
General understanding of Fixed income Products (FX and Rates)
Strong quants development skills in Java or C++.
Contribution to production code used for valuation or risk engine which has impacted desk PnL or sensitivities [for FO quants] or,
Approval of a model change in production which has impacted desk PnL [for MO quants].