Lead Securities Quantitative Analytics Specialist - Model Development - Investment Bank

Model Development - Quant Specialist at an investment bank

About the Role :

- Seeking a Lead Securities Quantitative Analytics Specialist who is responsible for performing complex activities related to the design, development, validation, implementation, documentation, and on-going maintenance of securities quantitative models for CVA/Pricing/Risk that offer insights and recommendations on portfolio performance. Utilizes advanced mathematical skills and programming to create and validate analysis.

- Hands on experience into C++

- Partner with the desk in daily tasks such as model calibration and pricing/risk management issues and strategies

- Work in our quant library, contributing to our modeling efforts, and providing expertise on implementation issues

- Work with Technology teams in all aspects of model integration, with special focus on our curve building and valuation strategic platforms.

- Produce high quality model documents that satisfy model validation and regulatory requests

- Collaborate with and support Front office Trading, Technology Partners, and Model Validation/Governance teams.

Functional Responsibilities :

Duties include, but are not limited to :

- Participate in model development and deployment

- Design, Develop & Implement Pricing Models

- Testing and testing documentation

- Participating in unit testing, large scale Quant testing, pre-integration testing, integration testing, regression testing, UAT

- Testing case generation

- Checking the consistency and accuracy of quantitative models

- Testing tools and testing (partial) automation

- Developing testing scripts and automation scripts, e.g., for the Quant testing framework

- Testing of testing

- Participation in issue resolution

- Debugging case preparation (to produce isolated cases to demonstrate the issues) for the on-shore Quants

- Debug and conclude data issues/model input issues

- Testing of testing, debugging and resolving testing issues, and the issues in the Quant testing framework

- Part of the model documentation

- Production health monitoring tools

- Participating in the creation, execution and development of Front Office test plans

- Participation in the creation, execution and development of model monitoring plans

- Writing code (in Python, C++ etc.) and refactoring code after receiving approval to do so

- Actively participating and contributing in team discussions on project specific areas/assignments

- Maintaining proper documentation of all processes and keeping the code up to date

- Answering ad hoc questions from various stakeholders including US Front Office Quants, populating templates or creating new reports/extracts as requested by stakeholders

- Collaborate with and influence all levels of professionals, including more experienced managers

- Advise senior leadership to develop or influence objectives, plans, specifications, resources, and long-term goals for highly complex business and technical needs across Securities Quantitative Analytics

- Play an integral role to the trading floor

- Develop and guide a culture of talent development to meet business objectives and strategy

- Develop and guide a culture of talent development to meet business objectives and strategy

- Engage with all levels of professionals and managers companywide and serve as an expert advisor to leadership

Required qualifications :

- A Master's or PhD in a quantitative field such as math, statistics, engineering, physics, economics, computer sciences, etc.

- 7+ years of experience in Securities Quantitative Analytics, or equivalent demonstrated through one or a combination of the following: work experience, training, & education

- Good verbal, written, presentation and interpersonal communication skills

- Hands-on experience in programming in, e.g., Python or C++

- Knowledge or experience in derivatives Quant models for, e.g., interest rate derivatives or commodities derivatives or equity or XVA

- Ability to learn quickly and work collaboratively within a team in a dynamic and fast paced environment with multiple responsibilities but still following strict deadlines

- Good writing skills for technical/mathematical documents, e.g., LaTeX and other word processing programs

Preferred Skills & Abilities :

- Strong mathematical, statistical, analytical and computational skills

- Good knowledge of financial mathematics and financial models

- Eagerness to contribute collaboratively on projects and discussions