Credit Quantitative Analyst

09 Mar Credit Quantitative Analyst

Credit Quantitative Analyst

A US investment bank is actively seeking an AVP/VP front office quant as
part of their plans to grow their Front Office. This company is known for
its innovative Fixed Income Division that utilizes cutting edge technology,
sophisticated trading techniques, and effective quantitative models.
This role is considered a “desk quant” and requires significant interaction with


– Develop, design, and implement cross-asset models, with a primary
focus on Fixed Income derivative products using C++.

– Analyse and compare the performances of different implementations of
first-order risk measures (e.g. default risk, default correlation risk) for
credit derivatives.

– Continually assess the accuracy and effectiveness of derivative
(IR/CDS/options/swaps) pricing models.

– Analyse interest rate risk profile of cash CLOs through LIBOR Monte
Carlo simulation and suggest appropriate hedge instruments.


– EXPERIENCE: 1-5 years of direct experience in fixed income
quantitative analysis. Fresh graduates will only be considered on an
exceptional basis.

– EDUCATION: Masters or PhD in a technical discipline such as
Mathematics, Engineering, Physics, Statistics, Computer Science or
Econometrics from a top university program.

– COMPUTER SKILLS: Possess strong programming skills in one or
more languages (C++, Matlab, SQL).

– COMMUNICATON: Possess high degree of technical, written and
verbal communication skills.

Apply immediately if you meet these qualifications as interviews are set to
begin immediately. We also accept tentative inquiries if you wish to
discuss the role and your suitability with a specialty recruiter.

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