Vice President – Front Office Quantitative Analytics (Latin America Rates & FX)
Madison Ave Corp, United States
USD 225K-255K Executive-level Full Time
Tasks
- Build Python APIs for front office applications
- Build multi-curve construction frameworks
- Collaborate with trading sales structuring risk technology
- Conduct model validation and testing
- Create market-making decision tools
- Design pricing risk trading APIs
- Develop pricing analytics
- Develop pricing library in Rust
- Develop quantitative models
- Document methodologies and architecture
- Improve performance and scalability
- Incorporate FX dynamics
- Maintain C pricing libraries
- Maintain market data infrastructure
- Maintain pricing risk analytics
- Monitor production systems
- Optimize numerical methods
- Perform root cause analysis
Perks/Benefits
- N/A
Skills/Tech-stack
API Design | Automated testing | Bloomberg | Bootstrapping | C plus plus | CI/CD | Collateral | Computational Methods | Cross currency | Cross-currency basis | Cross-currency swaps | Currency Swaps | Curve construction | Data Frameworks | Discounting | Distributed Systems | FX forwards | Forwarding | Funding Valuation Adjustment | Git | Interpolation | Linux | Market Data | Market data frameworks | Model Validation | Multi Curve | Multi-curve frameworks | Murex | NDF | Numerical Optimization | OIS discounting | Parallel Computing | Pricing | Production Monitoring | Python | QuantLib | Risk Management | Rust | Summit | Valuation Adjustment | Yield curve | Yield curve construction
Education
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