Position: Senior Quantitative Analyst - Fixed Income and Market Risk Location: NYC, NY – 3 days onsite in a week Long-Term Contract Description: • Proven experience in pricing and risk modeling for fixed income trading products, with a focus on leveraged loans. • Minimum of 7-10 years of experience in developing and/or validating trading book market risk models within the financial services industry. • Strong understanding of model theory, calibration techniques, and dynamics of one-factor interest rate models, including the Hull-White model. • Advanced Python programming skills, with hands-on experience in testing financial models. • Experience with Numerix or comparable vendor-based modeling systems. • Proficient in designing and validating Profit and Loss (PnL) attribution frameworks. • Deep knowledge of market risk concepts and regulatory standards, including Value at Risk (VaR) using historical simulation, model sensitivity analysis (Greeks), and model validation practices aligned with SR 11-7 guidelines. • Demonstrated expertise in model development documentation, and implementation guides. • Excellent communication skills – both verbal and written. • Collaborative Team player with a proven track record of taking initiative and delivering results. • Excellent skills with Excel, Word and PowerPoint are mandatory. • Advanced degree (Master’s or Ph.D.) in a quantitative discipline such as Finance, Engineering, Physics, Mathematics, Statistics, Computer Science, or Quantitative Finance, with a strong background in modeling. Best Regards, Prashant Kumar Mail - prashant@quantumworldit.com