Fixed Income Analytics

4 weeks ago


New York, United States Tek Pyramids Full time

Title: Fixed Income Analytics and Support Engineer

Location: NYC, NY

Interview: Video + Onsite

Duration: Long Term

Visa: Any


Inputs from Hiring Manager:

  • Fixed Income Division
  • Structured Products exp. MBS, Commercial and Residential loans
  • Mostly a development role, with some support as needed
  • Must have strong experience with Market Risk side of Fixed Income products
  • Fixed Income Analytics exp.
  • VaR (Value at Risk) for Fixed Income products
  • Calculate VaR, assign and compute Risk
  • Must have Python and SQL, SSIS.
  • Batch processing. Identify problems after market closes
  • Vendor products PolyPath or Bloomberg desired to compute risk



Qualifications:

  • 5+ years hands-on developer experience in quantitative finance, especially in Fixed Income products.
  • 5+ years proficiency in market risk measures such as VaR and stress testing scenarios across traded products.
  • 5+ years of experience with sensitivities calculation and position valuation for fixed income products.
  • 7+ years of programming skills in Python, SQL, and SSIS are required.
  • 2+ years of experience with batch processing, and incident root cause analysis is necessary.
  • 1+ year of experience with structured products and using PolyPaths and Bloomberg Analytics is desired

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