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Fixed Income Quant Analyst
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#770286
Remote / WFH
Acuity Analytics
Job Description
BV/BY model
• BV/BY tool developed in Python and leverage libraries from vendors such as Intex and FINCAD (calculation description attached)
• Resource profile:
• Fixed-income modelling knowledge, structured product and fixed-to-floating model knowing is beneficial.
• Diagnose differences between prop BV/BY and Aladdin Premium BV/BY model
• Independently work with Blackrock calculator team to determine if differences are due to model, accounting inputs, cashflow inputs, or other security terms and conditions inputs, etc.
Skill level
• Quant: Intermediate, build new or enhance existing models with guidance, translate business asks into quant solutions, work across functions. Good understanding of financial instruments (FI in our case) and risk model
• Technical: Intermediate, expert python, SQL, strong data analytics, architectural design/performance optimization, scalability, etc
• BV/BY tool developed in Python and leverage libraries from vendors such as Intex and FINCAD (calculation description attached)
• Resource profile:
• Fixed-income modelling knowledge, structured product and fixed-to-floating model knowing is beneficial.
• Diagnose differences between prop BV/BY and Aladdin Premium BV/BY model
• Independently work with Blackrock calculator team to determine if differences are due to model, accounting inputs, cashflow inputs, or other security terms and conditions inputs, etc.
Skill level
• Quant: Intermediate, build new or enhance existing models with guidance, translate business asks into quant solutions, work across functions. Good understanding of financial instruments (FI in our case) and risk model
• Technical: Intermediate, expert python, SQL, strong data analytics, architectural design/performance optimization, scalability, etc
