Portfolio Manager (Interest Rates Derivatives) at LMR Partners LLC (New York, NY) Responsible for maintaining an in-depth understanding of market conditions and trends (Global interest rate volatility markets including USD, EUR, GBP, JPY) to effectively strategize trading and investment decisions. Day-to-day job duties include: Manage a portfolio of capital within the allocated risk limit as directed by the managing Rates Vol Portfolio Manager; Build market screeners to expand and automate trade identification and monitoring; Create quantitative indicators, RV models, and trading strategies; Perform trade execution, portfolio optimization, PnL and portfolio risk management; Develop, maintain and reinforce relationships with external banks and brokers; Assist the Investor Relations and Marketing team in keeping existing and potential investors informed on the firms strategy; Liaise with the Operations team to book and settle trades correctly; Liaise with the Technology team to develop appropriate trading systems to support the strategy; and * Conduct day to day activities in compliance with the firms Compliance policies and procedures. Requires a Bachelors degree in Economics, Statistics, Mathematics, Financial Engineering or a closely related financial field or foreign equivalent, followed by 8 years of progressively responsible experience as a Trader, Strategist, Portfolio Manager, Analyst or equivalent position in interest rates volatility trading. Experience must include: 1. 8 years of quantitative and statistical analysis experience in option pricing, greeks valuation, interest rate derivatives strategy back tests, portfolio optimization, and risk management; 2. 8 years of experience in G4 interest rates volatility products (including USD, EUR, GBP, JPY) including futures, futures options, swaps, swaptions, and other exotic products such as Yield Curve Options, MidCurve Options, and Bermudan options; 3. 5 years of coding experience in Python, including statistical modules NumPy and Pandas, option pricing models (such as OptLib), simulation models (such as StatsModels and SciPy), and other in-house optional-based analytics and libraries for option value and Greeks calculation; and 4. 2 years of experience of interest rates or risk management experience running in excess of $100 million USD in rates derivatives products. Wage Range: $200,000-$250,000 CV to Domenica.Seifel@lmrpartners.com, Ref. DA26

LMR Partners LLC

Latest Jobs

Portfolio Manager (Interest Rates Derivatives)