Exotic Rates/Muni Quant - VP
Key Responsibilities
- Develop, enhance, and maintain pricing models and analytics for exotic and nonlinear interest rate products within a C++ quantitative library.
- Support municipal derivatives trading activities, including pricing, risk management, valuation, model calibration, and trade analysis.
- Design and implement analytics for products with embedded optionality, callable structures, and structured fixed income solutions.
- Build Python-based tools and interfaces leveraging core pricing models and infrastructure.
- Manage daily model calibration processes, risk reporting, P&L explain, and model reconciliation.
- Partner closely with traders, structurers, technology, model validation, and risk management teams on model development and deployment.
- Drive automation and enhancements to quantitative infrastructure and model governance processes.
Required Experience
- Strong front-office experience in exotic rates, nonlinear rates, or interest rate derivatives quantitative modeling.
- Expert-level C++ development skills with experience building production pricing and risk analytics.
- Strong Python skills for quantitative development and analytics.
- Deep knowledge of interest rate modeling, volatility modeling, and derivative pricing frameworks.
- Experience with short-rate models, calibration techniques, and fixed income derivatives risk management.
- Proven track record supporting trading desks in a front-office environment.
Preferred Background
- Rates exotics, callable structures, Bermudan swaptions, structured rates, or interest rate options.
- Experience modeling products with significant embedded optionality.
- Municipal derivatives or municipal fixed income experience.
- Exposure to SOFR-based rates products and yield curve analytics.
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