Quantitative Analyst

The Quantitative Analyst will report to the Director of R&D and work with senior members of the Quantitative Research Group. The successful candidate will develop an in-depth understanding of the firm’s asset pricing models, quantitative data acquisition system, portfolio and risk management report generation, and take ownership of many aspects of the firm’s daily data acquisition and risk system processes. The emphasis is on practical, hands-on quantitative research and development in a collaborative, fast-paced environment. The role requires an MS in Computational Finance/Financial Mathematics/Financial Engineering, 1+ years of quantitative finance experience, and solid knowledge of object-oriented concepts and C++. Familiarity with Python, C#, SQL, Bloomberg, Postgres or SQL Server databases is also required.

• Develop in-depth understanding of the firm’s analytics library and related processes and applications. These include: database layout; C++ objects that represent market data, financial instruments and pricing models; overnight and intraday processes which compute various analytics; and reports that present the results of these calculations to Portfolio Managers and other users.
• Collaborate with other members of the team, and with Trading Floor personnel to develop advanced analytical tools to be used in the firm’s portfolio and risk management processes.
• Become thoroughly familiar with a suite of applications and processes which collect, validate, normalize, store and monitor the various structured and unstructured financial market data from internal and external sources used in pricing the fund’s portfolio. Participate in daily monitoring of these processes and work with junior members of the group to resolve issues with data and/or analytics.

• MS in Computational Finance/Financial Mathematics/Financial Engineering
• 1+ years of quantitative finance experience. Familiarity with fixed-income instruments across interest rate, credit, correlation and ABS space
• Solid knowledge of object-oriented concepts and C++; familiarity with Python, C#, SQL, Bloomberg, Postgres or SQL Server databases
• Experience in a multi-programmer environment is a plus
• Proven ability to produce quality work under time pressure, and to work collaboratively with others
• Intellectual curiosity and an eagerness to learn