Fixed Income Quant Researcher

LSEG•New York, NY

5d•Remote

About The Position

This is a manager level role reporting to the Head of Fixed Income Pricing and Modeling. The individual will be responsible for supporting, enhancing, and building out Yield Book’s advanced analytics, including curve fitting, term structure modeling, and pricing and risk for Mortgages, CMOs, fixed income derivatives, and corporate bonds. Daily activities involve modeling and monitoring of various curves, the term structure model, and pricing of fixed income securities. The role also includes learning and supporting the cloud platform, leading data processing and model development, and supporting research for new models. Coordination with developers, data teams, research, client services, and product management is essential.

Requirements

Strong quantitative skill in mathematics and the numerical analysis is required.
Strong working knowledge in C and C++ is strongly preferred.
Strong working knowledge of Python programming language is preferred.
Working knowledge in the fixed income market is desired.
Prior experience integrating data and models into production processes is desired.
Prior experience producing buyside or sell-side research and publications is desired.
Needs to be self-reliant and resourceful.
Strong motivation and the desire and ability to innovate.

Nice To Haves

Advanced Technical degree in a field such as Physics, Computer Science, Engineering, Statistics, Physics, or Mathematics is preferred.
1-2+ years in a similar quantitative role is preferred

Responsibilities

Learn Yield Book’s fixed income pricing model, curve fitting model, and term structure model as well as risk model such as VAR.
Commitment to support and improve existing implementations.
Applying quantitative skills to the modeling of the fixed income research.
Willingness to learn data flows that support quant models, i.e. customize data storage and processing to optimize for user experience, cost, and speed.
Support the effort to modularize existing suite of models.
Learn our cloud platform and lead data processing and model development.
Support research around the construction of new models.
Understand model construction and paths to production.
Coordinate with developers, data teams, broader research team, client services, and the product Management team on python code, cloud, and research outreach.