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 risk-management. • 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 and MATLAB. • 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: humanresources@brcap.com.
Keywords: Bracebridge Capital, LLC, Springfield , Quantitative Analyst 1, Securities / Investment , Boston, MA, Massachusetts