Exotic Rates/Muni Quant - VP

Selby Jennings Manhattan, United States

Posted 2 days ago In-Office Job Permanent Negotiable

A leading investment bank is seeking a VP-level Exotic Rates Quant to join its Municipal Derivatives business. This front-office role offers direct interaction with traders and focuses on the development, implementation, and support of pricing and risk models for complex interest rate and municipal derivative products.

Key Responsibilities

Develop, enhance, and maintain pricing models and analytics for exotic and nonlinear interest rate products within a C++ quantitative library.
Support municipal derivatives trading activities, including pricing, risk management, valuation, model calibration, and trade analysis.
Design and implement analytics for products with embedded optionality, callable structures, and structured fixed income solutions.
Build Python-based tools and interfaces leveraging core pricing models and infrastructure.
Manage daily model calibration processes, risk reporting, P&L explain, and model reconciliation.
Partner closely with traders, structurers, technology, model validation, and risk management teams on model development and deployment.
Drive automation and enhancements to quantitative infrastructure and model governance processes.

Required Experience

Strong front-office experience in exotic rates, nonlinear rates, or interest rate derivatives quantitative modeling.
Expert-level C++ development skills with experience building production pricing and risk analytics.
Strong Python skills for quantitative development and analytics.
Deep knowledge of interest rate modeling, volatility modeling, and derivative pricing frameworks.
Experience with short-rate models, calibration techniques, and fixed income derivatives risk management.
Proven track record supporting trading desks in a front-office environment.

Preferred Background

Rates exotics, callable structures, Bermudan swaptions, structured rates, or interest rate options.
Experience modeling products with significant embedded optionality.
Municipal derivatives or municipal fixed income experience.
Exposure to SOFR-based rates products and yield curve analytics.

Job ID PR/605988

ABOUT COMPANY

Selby Jennings

New York, United States

1000 Employees HR & Recruitment

We support the Financial Sciences & Services industry with talent that can truly shape the future of a business. Whether that be Quantitative Analyti...

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