London Stock Exchange - New York, NY
posted 2 months ago
The Fixed Income Quant Researcher role at LSEG is a managerial position that reports directly to the Head of Fixed Income Pricing and Modeling. This position is pivotal in supporting, enhancing, and building out Yield Book's sophisticated analytics, which includes curve fitting, term structure modeling, and pricing and risk assessment for various fixed income securities such as Mortgages, Collateralized Mortgage Obligations (CMOs), fixed income derivatives, and corporate bonds. The successful candidate will engage in daily activities that involve modeling and monitoring various curves, as well as the term structure model and pricing of different fixed income security types. In this role, you will be expected to learn and apply Yield Book's fixed income pricing model, curve fitting model, and term structure model, along with risk models such as Value at Risk (VAR) or Fundamental Review of the Trading Book (FRTB). A commitment to support and improve existing implementations is essential, as is the application of quantitative skills to the modeling of fixed income research. The role requires a willingness to learn about data flows that support quantitative models, including customizing data storage and processing to optimize user experience, cost, and speed. Additionally, you will support efforts to modularize the existing suite of models and lead data processing and model development on our cloud platform. Collaboration is key in this position, as you will coordinate with developers, data teams, the broader research team, client services, and the product management team on Python code, cloud initiatives, and research outreach. The ideal candidate will possess strong quantitative skills in mathematics and numerical analysis, with an advanced technical degree in fields such as Physics, Computer Science, Engineering, Statistics, or Mathematics, preferably holding a PhD. Strong working knowledge of C and C++ is required, along with proficiency in Python programming. Familiarity with the fixed income market and prior experience integrating data and models into production processes are highly desirable. The role is suited for a self-reliant and resourceful individual with a strong motivation to innovate and a minimum of 1-2 years in a similar quantitative role.