Develop alpha models in the credit space, with a focus on bond products (e.g., single bonds, ETFs) and their interactions with CDS, equities, and index instruments to shape trading strategies and drive the future growth of the Credit business.
Requirements
- Demonstrated experience in alpha research, systematic strategy development, and quantitative modeling, with a strong foundation in statistical methods, optimization, and market microstructure analysis.
- Deep understanding of credit markets and products (CDX, iTraxx, cash bonds, ETFs), including NAV behavior, cross-asset liquidity dynamics, and trading protocols such as rolls, basis trades, and portfolio hedging strategies.
- Proficiency in Python and data science libraries (pandas/polars, scikit-learn, matplotlib/plotly), with experience writing production-quality code for real-time data processing and visualization.
- C++ experience is a plus.
- Working knowledge of SQL, Git, and modern development environments (e.g., VS Code).
Responsibilities
- Research and develop short- and medium-horizon alpha models for credit indices, ETFs, single bonds, and CDS.
- Analyze RFQ dynamics, flows, and liquidity patterns to identify market microstructure inefficiencies that can be systematically captured.
- Build predictive signals linking credit indices with ETFs, equities, and futures, focusing on relationships across risk transfer markets.
- Improve and extend components of the alpha generation framework, including signal libraries, fitters, reporting pipelines, and backtesting engines.
- Design and run rigorous backtests to evaluate alpha performance across multiple horizons (intraday to multi-day), incorporating costs, slippage, and liquidity effects.
- Work with engineers to deploy alpha models into live trading systems; monitor performance, diagnose issues, and refine models post-deployment.
- Adjust models and signals to account for shifts in volatility regimes, liquidity conditions, and macro/credit-specific events.
Other
- Master’s or PhD in a quantitative field (math, physics, statistics, computer science, engineering).
- Exposure to credit, ETFs, equities, or futures is preferred.
- The opportunity to work alongside best-in-class professionals from over 40 different countries
- Highly competitive compensation package
- Global profit-sharing pool and performance-based bonus structure
