Senior Quantitative Developer - Interest Rate Pricing Models

March 29

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Vichara Technologies

Vichara Technologies is a company specializing in structured finance and investment technologies, providing advanced risk and analytics solutions for the financial services industry. Vichara develops powerful financial systems for trading analytics, portfolio management, and risk management, focusing on equity and fixed income securities and derivatives. The company offers V* Solutions, a modular software platform for valuation, analysis, and data management, particularly in the areas of RMBS, CMBS, and CLO. Additionally, Vichara provides technology consulting services to develop platforms for trading decision support and enterprise risk management.

Fixed Income Valuation and Trading Analytics • Structured Finance Technology • Data Management • Loan-level Analysis • Securitized Products Technology

📋 Description

• The quant team is responsible for providing valuation and risk calculations for all products traded by the firm • The team is implementing a new quantitative analytics library and are looking for an individual to drive the technology • Expand product and market coverage to address evolving client needs by researching, implementing and rolling out new rates models • Maintain existing models, interact with client portfolio managers, traders and risk managers • Test models and explain any differences with expected results • Document all changes and prepare submission packages for MRMG’s review • Respond to feedback from MRMG and adjust submission packages accordingly as appropriate

🎯 Requirements

• 5+ years of quantitative model development experience using Python • A Degree in a Quantitative Field • Experience in interest rates derivatives (swap, swaptions, CMS spread options, midcurves, etc) and modeling (short rate, Libor Market Model) • Exposure to curve building and stochastic volatility models • Expertise in stochastic calculus and numerical methods such as Monte-Carlo simulation, finite difference schemes

🏖️ Benefits

• Work from home opportunities • Extended health care • Dental care • Life insurance

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