Fixed Income Quant Researcher

Job description

Role Profile This is a manager level role reporting to the Head of Fixed income Pricing and Modeling. He or she will be responsible for supporting, enhancing, and building out Yield Book’s advanced analytics and supporting curve fitting, our term structure model, and pricing and risk for Mortgages, CMOs, fixed income derivatives, and corporate bonds. The daily activities will include assisting in modeling and monitoring of various curves, our term structure model, and the pricing of other fixed income security types. Key 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 productio...