Quantitative Analyst

Quantitative Analyst at Tenaron Capital Management LP (New York, NY) Responsible for supporting the pricing and risk management of interest rate products for a liquid rates private fund employing relative value strategies. The Quantitative Analyst will assist in the development and support of quantitative models, the measurement and analysis of portfolio risk and optimization, capital allocation decisions, and performance attribution and posttrade analysis. Day-to-day job duties include: * Develop, enhance, and maintain pricing and valuation models for bonds, futures, interest rate swaps, and other fixed income derivatives, applying quantitative techniques and financial theory; * Conduct portfolio risk analysis and performance attribution to identify exposures, optimize risk-adjusted returns, and support capital allocation strategies; * Assist in the research and implementation of systematic investment strategies within the fixed income liquid rates space using large-scale data analysis and modeling, and data visualization; * Build and support the technological infrastructure required for pre- and post-trade analytics, including data pipelines, back-testing platforms, and risk tools; * Provide actionable insights by conducting post-trade analysis and scenario testing to inform and refine trading strategies and investment decisions; and * Collaborate with portfolio managers, traders, and other quants to continuously improve the firms analytics, trading efficiency, and risk management capabilities through innovation and model enhancements. The position requires a Masters degree in Financial Engineering, Quantitative Finance, Statistics, Mathematics, or a closely-related quantitative field or foreign equivalent plus three (3) years of experience in an occupation where fixed income quantitative research or quantitative analysis at a private fund or bank was conducted. In lieu of a Masters degree plus 3 years of experience, employer will accept a Bachelors degree in Financial Engineering, Quantitative Finance, Statistics, or Mathematics, or a closely-related quantitative field or foreign equivalent followed by five (5) years of progressively responsible experience in an occupation where fixed income quantitative research or quantitative analysis at a private fund or bank was conducted. Experience must include: * 3 years of experience pricing bonds, futures, swaps and interest rate derivatives; * 3 years of experience with yield curve construction; * 3 years of experience with fixed income markets; * 3 years of experience utilizing financial, mathematical and statistical theory and practice; * 3 years of experience communicating quantitative topics and concepts; * 3 years of experience designing and implementing C++ risk and pricing analytics using modern development techniques; * 3 years of experience visualizing data to facilitate analytical insight; * 3 years of experience utilizing technical skills with at least three of the following statistical packages: Matlab, STATA, Python, R, SAS, Bloomberg, Excel, or VBA; * 3 years of experience with risk management principles and associated analytics tools; * 3 years of experience with multi-factor regression models; * 3 years of experience with abstract requirements and operating in a highly dynamic, multi-tasking environment while producing high-quality analysis; * 2 years of experience with value-at-risk (VaR) analysis; * 2 years of experience with one or more database technologies such as MSSQL or MySQL; * 2 years of experience with portfolio construction and risk management tools; * 2 years of experience in Monte Carlo simulations, derivative pricing, Black-Scholes and financial modeling; and * 2 years of experience with Bloomberg API. Wage Range: $225,000 - $250,000 per year CV to [email protected], Ref #JC1