Associate Director - Fixed Income Bond Research R24639

at FactSet Research Systems in Chicago, Illinois, United States

Job Description

Locations: New York, NY, Boston, MA and Chicago, IL

Working Environment: Hybrid

FactSet is a financial data and software company headquartered in Norwalk, CT with offices in 48 locations worldwide. As a global provider of financial information and analytics, FactSet helps the world’s best investment professionals outperform. More than 170,000 users across 7000+ clients stay ahead of global market trends, access extensive company and industry intelligence, and monitor performance with FactSet’s desktop analytics, mobile applications, and comprehensive data feeds. As of August 2023, annual subscription value reached $2.2 billion.

Our fixed income research and development team consist of self-motivated, articulate and highly-skilled professionals. A unique blend of people with highly quantitative skillsets. We are looking for a smart and highly motivated Associate Director (AD) to join us.

They will be responsible for

Leading a team of fixed income researchers who research and develop advanced quantitative models and concepts to build world class fixed income (bond) analytics for use predominantly in the Fixed Income Portfolio Analysis (FIPA) product – and elsewhere in the FactSet ecosystem.

Collaboration with other ADs in fixed income research (Derivatives, Risk, Structured Products), as well as global teams of quantitative developers, software engineers and product developers to better understand business requirements and deliver analytics to the clients.

Set the roadmap for fixed income bond analytics, taking into consideration client requests, product deficiencies and research that could help FactSet leapfrog our competitors. Assist the team in the design of the solution using tools such as python, C++, Excel, Julia, etc., depending on the use case.

Assess the current implementation tools and processes and determine methods to optimize and streamline, with the goal of producing a more efficient model research process and ultimately a faster time to market.

Ownership of the various methods used to determine the price or spread of a bond, including trinomial tree, Monte Carlo, partial differential equations, etc. Understanding stochastic interest rate models, such as the Hull-White model, market models, HJM models, and which are applicable to the various bond types.

Research models for all types of bonds (bankloans, municipal bonds, corporate bonds, high yield bonds, perpetual preferred equity, convertible bonds, contingent convertible bonds) and implement the industry standard. When the industry standard is lacking, then develop new models that satisfy the FactSet workflows. Publish journal articles, whitepapers and product documentation illustrating the results from the research.

Job Requirements

• 10+ years working in fixed income.

• Knowledge of FI markets and principles of quantitative modeling in finance

• Strong knowledge of the fixed income analytics competitive environment

• PhD or master’s degree in financial engineering, Science, Technology, Engineering or Mathematics

• Strong knowledge of stochastic calculus, probability theory, linear algebra, and numerical methods

• Good programming skills, preferably using the languages Python, C++, or Java; knowledge of object-oriented paradigm is preferable.

• Analytical thinking and problem solving

• Natural curiosity and creativity

• Strong verbal communication skills and works well in a team environment.

• Agile, action-oriented, quick thinker: you can deliver preliminary results fast by making simplifying assumptions and take time to dive deeper if our business priorities allow and if the problem demands more scientific rigor.

Any of the following will be considered an advantage

• Experience in the space of derivative modeling

• Experience with modern portfolio theory

• Algorithms development, optimizing and profiling code

• Knowledge in SQL, preferably on MSSQL Server

Must be legally authorized to work in the United States without the need for employer sponsorship, now or at any time in the future.