CIB - Quantitative Research Emerging Markets - Associate - NY, NY

Job description

Job Summary:
This is an entry level model, product and technology development and support role for the Emerging Markets trading business. The role affords the new team member opportunities to work on the cutting-edge emerging markets modelling and risk management issues. The role is open to junior level quant researchers preferably with experience in Fixed Income modelling.

Core Responsibilities:
·  Adapt existing and develop new models from different asset classes (Interest Rates, FX, Credit) to needs of Emerging Markets trading.
·  Perform live pricing of trades using a variety of tools and models
·  Actively participate in pricing and risk management platforms development to accommodate new products and improve ways of looking at risk.
·  Develop new technology to support Latin America local markets trading
·  Daily support of trading desk activities in NY and in Latin America based offices in modeling and technology.

Desired profile

Essential skills, experience, and qualifications
·  PhD, MS or equivalent degree from top tier schools/programs in Math, Math Finance, Statistics, Physics, or Engineering
·  Understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives)
·  Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
·  Strong programming skills in C/C++ and Python
·  Familiarity with Excel and VBA coding
·  Good communication skills.

For persons with some experience:
·  Emerging Markets experience is a big plus but not a must
·  Experience in any of the following:
·  Interest Rates flow products and curve construction;
·  Interest Rates options modelling – HJM, tree, Monte Carlo simulation;
·  Inflation modelling;
·  Credit modelling;
·  FX modelling;