Quantitative Strategist

Sumitomo Mitsui Banking Corporation • New York, NY

22h • $109,000 - $180,000 • Hybrid

About The Position

SMBC Group is a top-tier global financial group. Headquartered in Tokyo and with a 400-year history, SMBC Group offers a diverse range of financial services, including banking, leasing, securities, credit cards, and consumer finance. The Group has more than 130 offices and 80,000 employees worldwide in nearly 40 countries. Sumitomo Mitsui Financial Group, Inc. (SMFG) is the holding company of SMBC Group, which is one of the three largest banking groups in Japan. SMFG’s shares trade on the Tokyo, Nagoya, and New York (NYSE: SMFG) stock exchanges.

In the Americas, SMBC Group has a presence in the US, Canada, Mexico, Brazil, Chile, Colombia, and Peru. Backed by the capital strength of SMBC Group and the value of its relationships in Asia, the Group offers a range of commercial and investment banking services to its corporate, institutional, and municipal clients. It connects a diverse client base to local markets and the organization’s extensive global network. The Group’s operating companies in the Americas include Sumitomo Mitsui Banking Corp. (SMBC), SMBC Nikko Securities America, Inc., SMBC Capital Markets, Inc., SMBC MANUBANK, JRI America, Inc., SMBC Leasing and Finance, Inc., Banco Sumitomo Mitsui Brasileiro S.A., and Sumitomo Mitsui Finance and Leasing Co., Ltd.

The anticipated salary range for this role is between $109,000.00 and $180,000.00. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.
Role DescriptionSMBC’s Capital Markets' Strategists Group in the Front Office is engaged in generating high value cross asset solutions for risk and P&L using Polaris Platform. This group is also responsible for ensuring the consistency of models and usages across lines of business and carry forward one system Agenda. Polaris Core Strategists are a key part of SMBC CM business, developing and maintaining sophisticated mathematical models, cutting-edge methodologies and infrastructure to value and risk manage financial transactions. We develop these in Polaris, which is a next generation risk, pricing, and trade management platform.  

This is a position for a junior quantitative analyst.  The focus is development of the infrastructure for derivative securities pricing, in the area of interest rates (including inflation), credit derivatives, mortgage and asset backed securities, and foreign exchange.

The role resides in our Capital Markets Front Office team and provides quantitative support in terms of model building, implementation, application building, and documentation as well as pricing and risk management advice to traders and marketers. The successful candidate understands the aspects of pricing and risk management of products in these asset classes, and will be able to implement pricers in C++ based DLL and/or in scripting languages.

Excellent programming skills in C++ are important. Knowledge of scripting languages (e.g. Python) is a plus.

Requirements

• Masters or (preferably) PhD Degree in Finance or a Quantitative Field of Science or Engineering.
• About 2 years of experience in the Financial industry, preferably with a major financial institution in a role related to interest rates, credit, MBS, ABS, FX products and derivative pricing for front desk.
• Solid background in applied mathematics especially in understanding of stochastic calculus, derivative pricing theory and numerical methods such as Monte Carlo or partial deferential equations.
• Solid programming skill in C++ or other complied language. Having working knowledge of either Microsoft or Linux development environment.
• Ability to effectively communicate abstract ideas to the front desk, as well as ability to produce technically accurate and effective documentation on the models developed.
• Ability to interact with the Trading Department on ad-hoc issues involving derivatives pricing, volatility calibration and curve building.
• Ability to understand and troubleshoot pricing / risk management problems in a rapidly expanding group of professionals.
• Quick learner and hands-on team player with open mind to new technologies.

Nice To Haves

• Knowledge of scripting languages (e.g. Python)

Responsibilities

• Associate level front office quant who will contribute to DPG's modeling and pricing effort in various asset classes.
• Produce, maintain or extend existing model implementations built in C++/Python/Excel VBA.
• Create application and user interface with JavaScript/Python/Excel VBA for front desk.
• Implement risk reports and processes automation for risk management and operation purposed purpose.
• Creating test environment and test case for software quality management, model control and regulation auditing purpose.
• Work as liaison between front office traders and IT team to set requirements and manage direction of front office IT projects.

What This Job Offers

• Job Type: Full-time
• Career Level: Entry Level
• Education Level: Ph.D. or professional degree