Job Title:	Interest Rates Strategist
Reference:	chsbdhcbdshjcbdshb
Salary:	Highly Competitive
Location(s):	Non UK / Overseas
Industry(s):	Banking
Advertiser:	Selby Jennings
Employment Type:	Permanent
Posted:	29-07-2008

Description:

A leading hedge fund based out of New York is looking to add to their interest rates derivatives strategy team.



You should have significant experience within interest Rate volatility markets and currently be at VP level or above as you will be responsible for :-

-researching and analyzing relative value opportunities in interest rate and volatility markets

- Developing conditional distribution model to identify relative value opportunities in cross-currency trades

- Building scenario tool to analyze trades under different interest rate and volatility scenarios



You should be extremely derivatives focused with the capabilities to move into a role which will see you building volatility arbitrage model to identify relative value opportunities between caps, eurodollar options and swaptions. You should also have exceptional modeling skills and be able to:-

- Develop alpha-beta volatility skew model for swaptions, bond options, options on treasury futures and mortgage options

- Develop models that use mean reversion, carry and volatility of volatility to identify relative value opportunities on the volatility surface.



This is role will offer you the chance to move out of a sell side strategy team into a role which is more involved in the business and success in this role will see you implementing global rate, curve & volatility strategies that generate PNL.



I am happy to discuss in more detail however please note that this is a buy side strategy roles offering a chance to make a move to the buy side and expand your current skills therefore the ideal candidate will be from a strategist background and not trading.



Utmost confidentiality assured. Please apply directly to strategy@selbyjennings.com or visit our Website, www.selbyjennings.com