Rates Quant Rates Quant …

Selby Jennings
in Singapore
Permanent, Full time
Last application, 18 Jan 22
Negotiable
Selby Jennings
in Singapore
Permanent, Full time
Last application, 18 Jan 22
Negotiable
Our client is one of the world's largest and most respected financial institutions, with more than 300 years of success, quality and innovation behind them. Sitting on their Rates, Options and Structured Trading Desk, you will be playing an integral role to Quant Traders. Part of the greater worldwide team, you will be responsible for developing and enhancing rates and hybrids models as well as integrating them in the IT pricing and risking infrastructure.

Be part of an esteemed organisation that creates financial and digital solutions that the world now takes for granted.

Overall purpose of role

  • Expand, maintain and upgrade existing rates option models used by the trading desks (Black, Short Rate Model, Libor Market Model, SABR) and development of new functionalities.
  • Frequently liaise with Rates Options trading on issues ranging from risk management, ad-hoc product analysis, production rollout, desk support and library release.
  • Enhance model management through automation and development of new approaches.
  • Help transition new products offering on Libor replacement rates.

Key Accountabilities

  • Develop and maintain an open and constructive dialogue with colleagues, model owners, validation teams and other external stakeholders on model developments, reviews, implementation, rollout, maintenance and usage
  • Document new models to required standards

Stakeholder Management and Leadership

  • Provide leadership in project team meetings, guiding participants through actions and achievements and a clear plan on future steps

Decision-making and Problem Solving

  • Be creative in solving problems, appreciating the commercial impact of delayed decisions and ineffective progress

Risk and Control Objective

  • Ensure that all activities and duties are carried out in full compliance with regulatory requirements

Person Specification

  • A keen eye for detail
  • Self-starter: motivated and disciplined
  • Able to work in isolation and within a team environment, as required

Essential Skills/Qualifications

  • Post graduate degree in a quantitative discipline (Mathematics, Statistics, Physics, Engineering);
  • Excellent numerical programming ability using C++ and Python
  • Strong stakeholder management skills with experience from complex projects
  • Track record of producing high quality written communication including results of research and presentations for technical and non-technical audiences

Desirable skills/Qualifications:

  • Previous exposure to Rates, Credit and/or FX derivative products and models.
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