Vice President Quantitative Research

Vice President, Quantitative Research

BNP Paribas Securities Corp. is seeking a Vice President, Quantitative Research to join our Global Markets team in New York City. This role offers an opportunity to work on the cutting edge of financial modeling and contribute to the success of our trading desks.

About the Role

As a Front Office Quantitative Researcher, you will be instrumental in developing and implementing innovative pricing models for flow rates and options products, with a specific focus on those traded in the Americas. You will collaborate with quantitative research teams globally, contribute to the full lifecycle of model development, and provide critical support to our trading desks.

Key Responsibilities:

• Implement new pricing models for flow rates and options products, studying internal and external resources.
• Collaborate with local and global Quantitative Research teams to foster synergies and ensure optimal development.
• Participate in the development, testing, validation, and release of flow rates and options products.
• Support trading desks on booking, pricing, and hedging issues, providing timely solutions.
• Report progress and concerns to management.
• Train junior employees, sharing mathematical and financial expertise in flow rates and interest rate options.
• Participate in the interview and selection process for new team members.

Qualifications:

• Master's degree (US or Foreign Equivalent) in Financial Engineering or Computational Finance.
• Two (2) years of experience performing model research and validation within an international flow rates market.
• Two (2) years of experience in:
  • Producing production-ready code using Python or C++ for modeling, analytical, and pricing tools, data validation, and process automation in a financial services environment.
  • Collaborating with business stakeholders to gather requirements and develop technologies and models.
  • Conducting research in financial mathematics applied to rates and/or FX derivatives (e.g., Swaps, Bonds, FX Swaps, Repo, Inflation).
  • Supporting a trading desk quantitatively, addressing day-to-day issues and providing strategic solutions.

Work Environment:

This position is based at our New York City office. Telecommuting is permitted up to 40% within normal commuting distance.

Key skills/competency

• Quantitative Research
• Financial Engineering
• Pricing Models
• Python
• C++
• Rates Derivatives
• Options Products
• Model Validation
• Hedging
• Risk Management