Quantitative Researcher (Fixed Income)

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 is a global proprietary trading firm that leverages state-of-the-art technology and research to identify and execute profitable trading strategies across multiple asset classes around the world. Our offices in Chicago, New York, and London are all composed of naturally-curious individuals who thrive in a team environment and constantly strive for improvement.

About The Position

Old Mission Capital, a global quantitative proprietary trading firm, is currently hiring a talented Quantitative Researcher to join our growing Fixed Income operation. The ideal candidate will have experience trading fixed income assets, corporate bonds, and other debt instruments. This Quantitative Researcher will be familiar with building and improving the firm’s risk and pricing models, as well as understanding the risks in trading these assets.

Responsibilities

• Perform exploratory data analysis on various market datasets, including bond data, exchange quote data, and third-party pricing data, generate trading signals and evaluate how they might be applied.
• Research and develop quantitative models to forecast bonds and commodities’ various metrics, including price, bid-ask spread, liquidity, etc, prototype predictive models, and perform regressions and other machine learning analysis to validate, backtest, and improve quantitative models.
• Contribute to the development and continuous assessment of trade execution.

Required Skills

• Qualified candidates will have an advanced degree in a quantitative field (preferably a Ph.D. in engineering, statistics, mathematics or a hard science).
• Candidates need to have exceptionally high mathematical and programming skills (must be proficient in Python, VBA, or R).
• Strong quantitative, analytical, research-oriented and problem-solving skills.
• Superior communication, both written and verbal, and has the ability to handle multiple tasks in a time-sensitive, fast-paced, collaborative, collegial environment.
• Successful candidates will have a passion for the financial markets and will have an entrepreneurial mindset as the team is growing and this individual will be a value-added contributor who will have an immediate impact.
• Demonstrated experience in US corporate bonds is required.
• Qualified candidates will have previous experience in TCA, execution quality assessment, and execution algorithms with a focus on US Credit.
• Must have experience with credit pricing, credit curve models, and RFQ-based trading is desirable.
• Must have experience with Bayesian filtering/Hidden Markov Models is desirable.
• Intra-day credit curve modeling is a plus.

Benefits And Perks

• Fully paid Medical, Dental, Vision, Disability, and LIfe Insurance
• Fully stocked kitchen; free breakfast and lunch every day on-site
• Tuition Reimbursement Program
• 401(k) with employer match
• Paid Vacation, Sick, and Parental leaves
• Commuter and Flexible Spending Program

Base Salary Range

$175,000 - $250,000 - Salaries are based on numerous factors such as skills, experience, and education. Our compensation package also includes a discretionary bonus and a comprehensive benefits program for full-time employees.