Interest Rates Quant - Assoc/VP level Interest Rates Quant - Assoc/VP level …

Anson McCade
in Singapore, Singapore, Singapore
Permanent, Full time
Last application, 19 Jul 19
Negotiable
Anson McCade
in Singapore, Singapore, Singapore
Permanent, Full time
Last application, 19 Jul 19
Negotiable
Anson McCade
We are looking for an Interest Rates Quant.

Interest Rates Quant - Assoc/VP level

Singapore based

The Role:

  • Maintain the in-house multi-asset class pricing and risk library used across the bank, for all types of products, including flow, vanilla and exotics.
  • Improve existing and implement new models for the pricing and risk management of interest rates products.
  • Produce analytics documentation and test material.
  • Provide day-to-day support for all relevant business units.

Requirements:

  • Strong academic qualifications in a quantitative subject (e.g. Financial Mathematics).
  • Experience in interest rates modelling.
  • Good C++ programming.
  • Knowledge of functional programming (e.g. Haskell) is a plus.
  • Good knowledge of numerical methods, stochastic calculus and probability.
  • Good communication skills (verbal and written English).
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