Fixed Income Quant Researcher: Build Bonds Models & Signals

Ashby; Chicago (IL); On-site; USD 175,000 - 250,000; Full time

Benefits offered by this job

Fully paid Medical, Dental, Vision, DI

401(k) with employer match

Paid vacation/sick/parental leaves

Commuter program

Job summary

Old Mission Capital is seeking a Quantitative Researcher to join our Fixed Income operation. You will build and improve risk and pricing models for corporate bonds and other debt instruments, and contribute to data analysis and model validation.

Ideal candidates have advanced degrees in quantitative fields and strong programming skills (Python/VBA/R). Experience with US corporate bonds, TCA, and credit pricing is essential; Bayesian methods are a plus.

Qualifications

• PhD in engineering, statistics, mathematics or a hard science.
• Proficient in Python, VBA, or R.
• Strong quantitative, analytical, research-oriented and problem-solving skills.
• Excellent written and verbal communication and ability to multitask in a fast-paced, collaborative environment.
• Experience with US corporate bonds and credit markets.
• Experience with TCA, execution quality assessment, and execution algorithms focusing on US Credit.
• Knowledge of credit pricing, credit curves, and RFQ-based trading.
• Experience with Bayesian filtering/Hidden Markov Models is desirable.
• Intra-day credit curve modeling is a plus.

Responsibilities

• Perform exploratory data analysis on market datasets (bond data, quote data, pricing data), generate trading signals and evaluate their applicability.
• Research and develop quantitative models to forecast bonds and commodities metrics, prototype predictive models, and backtest/improve models.
• Contribute to development and continuous assessment of trade execution.

Skills

Quantitative analytics

Programming

Communication

Entrepreneurial mindset

US credit markets

TCA / execution quality

Execution algorithms

Credit pricing

Bayesian filtering / HMM

Credit curve modeling

Education

PhD in quantitative field

Tools

Python

VBA

R

Job description

Old Mission Capital is seeking a Quantitative Researcher to join our Fixed Income operation. You will build and improve risk and pricing models for corporate bonds and other debt instruments, and contribute to data analysis and model validation.

Ideal candidates have advanced degrees in quantitative fields and strong programming skills (Python/VBA/R). Experience with US corporate bonds, TCA, and credit pricing is essential; Bayesian methods are a plus.