Quantitative Credit Model Developer
4 days ago
Millar Associates is a top-tier Investment Bank seeking a highly skilled Quantitative Credit Model Developer to join our Flow Credit Trading team. Our team focuses on developing and maintaining cutting-edge quantitative models for flow credit derivatives, including CDOs, FTDs, CLNs, Repacks, and Leverage Notes.
Job Description
We are looking for an experienced Quantitative Credit Model Developer with strong technical skills in C++/C#/Python to support our flow trading desks on pricing and hedging of flow products. The successful candidate will be responsible for developing models used for pricing and risk management, including PL Explain and capital charges, as well as designing new analytic approaches for Flow Credit risk metrics.
Required Skills and Qualifications
The ideal candidate should have a Master's or PhD in Math, Physics, Stats, Comp Sci, or other engineering, with experience in a quant team coding in C++/C#/Python, modelling & systems, and data manipulation and database experience. Strong communication skills (internal and external) are also essential, with the ability to liaise with Quants/Risk/IT and Traders.
Estimated Salary
$120,000 - $180,000 per year.
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