Fixed Income Portfolio Manager Jobs

About The Position

Requirements

• Bachelor’s degree or its foreign equivalent in Financial Engineering, Mathematical Finance or Mathematics
• 1 year of experience in the job offered or as Fixed Income Portfolio Manager, Financial Engineer, or Deputy Manager, Finance.

Responsibilities

• Work closely with cross-functional teams, including front office and risk management users to gather, analyze and document requirements for reviewing and analyzing derivative models for pricing and risk management.
• Participate in the development, testing and enhancement of quantitative models and methods in C++ within the Numerix CrossAsset XL framework.
• Facilitate structuring, pricing and administration of diverse financial derivatives and structured products covering fixed income, credit, equity, commodities, foreign exchange, inflation and hybrids.
• Implement restrictions on the use of LIBOR fallback/transition curves when pricing a settle-in-advance FRA, develop a new Compound Overnight Futures Option Instrument object, and integrate a new Rolling Bond Index object.
• Enhance the Zero Rate Shift Bump object by introducing a new input feature for smoothing out tent shocks at start or end points.
• Upgrade the CapFloor Analytic object to accommodate duplicate fixing dates and revise the calculation methodology of the Greek Rho in the Commodity Future Analytic object.