European Volatility Rates Quantitative Analyst

1 week ago


London, Greater London, United Kingdom Balyasny Asset Management L.P. Full time

Balyasny Asset Management L.P. is seeking a highly skilled European Volatility Rates Quantitative Researcher to join our Macro Technology Team.

Overview

We are looking for a talented individual who can design and implement processes for live calculation of P&L and risk used by portfolio managers, build and maintain pricing models for a range of products traded in macro business, and support portfolio managers and analysts in building out bespoke tools using in-house analytics.

Salary

The estimated annual salary for this role is between $200,000 and $300,000, dependent on relevant experience, business needs, and market demands.

Job Description

As a European Volatility Rates Quantitative Researcher, you will be responsible for:

  • Designing and implementing processes for live calculation of P&L and risk used by portfolio managers;
  • Building and maintaining pricing models for a range of products traded in macro business;
  • Supporting portfolio managers and analysts in building out bespoke tools using in-house analytics;
  • Designing and implementing macro data series for use in analysis and back-testing;
  • Learning about pricing, risk, and calibration for various macro products.
Required Skills and Qualifications

To be successful in this role, you will need:

  • A Masters' Degree or higher in a quantitative field; preferably with degree courses in computer science, finance, mathematics, econometrics, or other quantitative discipline;
  • Expert C++ programming skills with the ability to produce well-engineered code;
  • Programming experience in Python in the context of data analysis, with the ability to test ideas and develop infrastructure for further research;
  • Understanding and exposure to interest rates swaps, fixed income futures, interest rate options, and foreign exchange, as well as local and/or stochastic vol models implementation;
  • Knowledge of statistics, including time series analysis and regressions;
  • Strong organization skills with the ability to present results clearly and iterate with PMs accordingly.
Benefits

This role may also be eligible for bonus compensation and employee benefits.



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