Director of Fixed Income Quant Research & Modeling

This is a director level role reporting to the Head of Analytics Research and working closely with the Head of Fixed income Pricing and Modeling. He or she will be responsible for supporting, enhancing, and building out Yield Book’s advanced analytics and supporting curve fitting, our term structure model, and pricing and risk for Mortgages, CMOs, fixed income derivatives, and corporate bonds. The daily activities will include modeling and monitoring of various curves, our term structure model, and the pricing of other fixed income security types as well as new modeling for fixed income assets using neural networks and other advanced statistical and mathematical approaches. The responsibilities will also include collaborating with the MQA quant team at Citigroup who is a key stakeholder for many of the models on the Yield Book platform.

Key Responsibilities

• Learn and understand Yield Book’s fixed income pricing model, curve fitting model, and term structure model as well as risk model such as VAR or FRTB.
• Commitment to support and improve existing implementations.
• Applying quantitative skills to the modeling of the fixed income research.
• Understand data flows that support quant models, i.e. customize data storage and processing to optimize for user experience, cost, and speed.
• Support the effort to modularize existing suite of models.
• Learn our cloud platform and lead data processing and model development.
• Support research around the construction of new models.
• Understand model construction and paths to production.
• Coordinate with developers, data teams, broader research team, client services, and the product management team on python code, cloud, and research outreach.

Candidate Profile / Key Skills

• Strong quantitative skill in mathematics and numerical analysis is required.
• Advanced Technical degree in a field such as Physics, Computer Science, Engineering, Statistics, Physics, or Mathematics is required. PhD preferred.
• Prior management experience preferred.
• Strong working knowledge in C and C++ is required.
• Strong working knowledge of Python programming language is preferred.
• Working knowledge in the fixed income market is preferred.
• Prior experience integrating data and models into production processes is desired.
• Prior experience producing buyside or sell-side research and publications is desired.
• Needs to be self-reliant and resourceful.
• Strong leadership skills, and the desire and ability to innovate.
• 5+ years’ experience in a similar quantitative role required.

Compensation/Benefits Information (New York applicants only):

LSEG is committed to offering competitive Compensation and Benefits. The anticipated base salary for this position is $183,000 - $340,000.

Please be aware base salary ranges may vary by geographic location, city and state. In addition to our offered base salary, this role is eligible for our Annual Incentive Plan (AIP/”bonus plan”). Target AIP rates will be commensurate with role level and posted career stage. Individual salary will be reflective of job related knowledge, skills and equivalent experience. LSEG roles (excluding internships and part-time roles of less than 20 hours per week) are typically eligible for inclusion in our LSEG Benefits program, which includes offerings of: Annual Wellness Allowance, Paid time-off, Medical, Dental, Vision, Flex Spending & Health Savings Options, Prescription Drug plan, 401(K) Savings Plan and Company match. LSEG’s Benefits plan also includes basic life insurance, disability benefits, emergency backup dependent care, adoption assistance commuter assistance etc.

LSEG is a leading global financial markets infrastructure and data provider. Our purpose is driving financial stability, empowering economies and enabling customers to create sustainable growth.

Our purpose is the foundation on which our culture is built. Our values of Integrity, Partnership, Excellence and Change underpin our purpose and set the standard for everything we do, every day. They go to the heart of who we are and guide our decision making and everyday actions.

Working with us means that you will be part of a dynamic organisation of 25,000 people across 65 countries. However, we will value your individuality and enable you to bring your true self to work so you can help enrich our diverse workforce. You will be part of a collaborative and creative culture where we encourage new ideas and are committed to sustainability across