Bracebridge Capital seeks to improve its fixed-income pricing and risk systems, primarily within the global fixed income markets, with the objectives of capital preservation and absolute return without significant correlation to equity, interest rate and foreign exchange markets.
Requirements
- Substantial experience with C++ programming, including responsibility for production and maintenance of fixed-income analytics libraries
- Proven track record in risk system architecture and scenario-based portfolio analytics
- Familiarity with complex fixed-income instruments and valuation approaches, including loan portfolio pricing models, strongly preferred
- Solid understanding of risk management concepts, including sensitivity analysis, stress testing, and P&L attribution
- Minimum 5 years of professional experience implementing fixed-income pricing models for products in rates, credit, correlation and ABS space
- MS or more advanced degree in Computational Finance/Financial Mathematics/Financial Engineering
- Deep familiarity with rates, credit, correlation, and ABS modeling
Responsibilities
- Lead and manage the development/enhancement of the in-house fixed income pricing platform used for portfolio and risk management
- Develop a comprehensive understanding of and own the daily scenario-based Risk System production process, including model development, data pipelines, database structure, C++ analytics, and report generation
- Identify and explain sources of large daily sensitivity and scenario PL changes and discrepancies
- Build accountability-based business process to monitor daily Risk System runs, utilizing Researchers and Quantitative Developers
- Pinpoint issues with data and/or analytics and direct junior members of the group to resolve them
- Implement and manage the changes and enhancements to the models, scenario definitions and other parts of the risk system to incorporate new state variables and risk factors
- Collaborate with Portfolio Managers on pricing and scenario analysis for rates, credit, and ABS positions
Other
- MS or more advanced degree in Computational Finance/Financial Mathematics/Financial Engineering
- Minimum 5 years of professional experience
- Demonstrated ability to communicate effectively with portfolio managers, traders, and quantitative teams
- Proven ability to work independently and deliver results in a fast-paced, collaborative research environment
- Travel requirements not specified
