Emerging Markets Rates Quantitative Researcher

Emerging Markets Rates Quantitative Researcher

The Role

We are seeking an exceptionally talented individual to join our DMFI Quant team as a quant researcher focusing on Emerging Markets. Our mission is to deliver real-time and high-quality risk and analytical tools to support our Portfolio Management teams in their decision-making process. This role is your chance to be a key contributor in the development of our cross-asset analytics platform.

What you’ll do

Working in the QR Rates team, you will be in charge of modelling, implementing and maintaining all aspects of our Emerging Market Rates analytics offering; namely:

• Owning the full curve construction stack for EM rates: bootstrapping, interpolation, multi-curve / cross-currency frameworks, turn-of-year effects, and central bank meeting date handling
• Model EM-specific instrument conventions (CDI, TIIE, SOFR vs. local benchmarks, NDF-implied curves, onshore/offshore...