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Senior Quantitative Developer - Fixed Income

Company: NJF Global Holdings
Location: Greenwich
Posted on: September 12, 2020

Job Description:

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Global Fixed Income is one of the major lines of business within our client’s flagship multi-strategy hedge funds and deploys capital in the developed interest-rate and currency markets, focusing on liquid products including nominal and inflation-protected government bonds, interest-rate swaps, futures, options, and agency mortgage-backed securities. Strategies are primarily concentrated in the US, European and Sterling markets, and combine macroeconomic analysis, quantitative modeling, and rigorous portfolio construction to identify and capture opportunities. Each portfolio manager in Global Rates has a disciplined approach to a specific domain, and the team jointly identifies potential investments across these products and regions through a collaborative investment process.

Responsibilities

The candidate will be part of the Global Fixed Income Quantitative Development team, which is responsible for development of the Global Fixed Income Pricing, Trading and Risk system (Valuation, Risk, PnL Predict, Pnl Explain, Scenario Analysis platform) and the integration of models/analytics, market data, scenarios and trades / positions into this system

The candidate will be primarily involved with development of real time trading and risk management systems for proprietary trading in global fixed income

Portfolio Risk and Stress scenarios for rates trading

Development of global market monitoring and trading tools in liquid fixed income

Historical and model based analysis & ranking of trade ideas in liquid fixed income

Requirements

Proficiency / experience in programming and problem solving in compiled languages (C++ for Windows and/or Linux)

Solid scripting experience (Python preferred but acceptable scripting experience may include Perl, Ruby, Small Talk, etc)

A good software engineer, who believes in engineering solutions, and recognizes in advance where engineering will pay off versus short cuts

Experience working in a Windows and/or Linux development environments (experience with both is preferred)

Nice to have:

Direct experience working with traders and in the model-building lifecycle

SQL

C#

Specific Fixed Income and/or FX domain knowledge / expertise

Product knowledge of any or all of the following: Govt Bonds, Bond Futures (and Options), Inflation Linked Bonds, Interest Rate Swaps, Deposit Futures (and Options), Basis Swaps, Swaptions, OIS Swaps, Caps/Floors, FX Derivatives

If you would like to be considered for the position of Senior Quantitative Developer, or wish to discuss the role further then please leave your details below. Your resume will be held in confidence until you connect with a member of our team

By ticking this box I consent to receiving emails about jobs and information from NJF. Please leave unticked if you do not wish to be on our mailing list

Keywords: NJF Global Holdings, Greenwich , Senior Quantitative Developer - Fixed Income, Other , Greenwich, Connecticut

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