Senior Quantitative Analyst

  • Negotiable
  • Singapore
  • Permanent, Full time
  • Hays Finance Technology Singapore , EA Licence No: 07C3924
  • 29 Aug 17

With a Top 5 Global Investment Bank. Based in London.

With a Top 5 Global Investment Bank. Based in London.

Your new role

  • Model revalidation and re-documentation of derivative pricing models covering equity, rates, FX, commodities asset classes; Working with Front Office quants to design testing plan to test stability and performance of the pricing model.
  • Working with developers for coding, running and debugging model tests in C# and C++ and Python; Explaining and documenting test results pertaining to PAA /Benchmarking/ Convergence/ Sensitivity/ Stress tests; Explaining tolerance breaches and identifying mitigation controls.
  • Drafting parser scripts to test exotic payoffs based on contract features, schedules etc.
  • Recommending changes to model libraries to ensure model features and restrictions are implemented correctly. Recommending changes to PAA analysis so that missing risk factors are properly accounted for.
  • Drafting and editing complex mathematical fundamentals of the derivative pricing model including assumptions, approximations and derivations.
  • Drafting and editing complex technical documentation from information gathered through interactions with market risk, valuation and control and model governance teams. Ensuring documentation is in compliance with internal standards and meets the requirements US and European Regulators.
  • Contributing to the existing model testing framework including coding for common model testing utilities in C# and Python; Building /writing new model tests and utilities .
  • Managing interaction with 4-5 team members (onshore & offshore) sitting in different locations different time zones and aligning the entire team to meet client expectations.

What you'll need to succeed

  • 10+ years of experience of working with front office quants
  • Masters/Bachelors in Financial Engineering, Physics, Mathematics with electives in derivatives valuation and stochastic calculus
  • Experience of pricing libraries of wide range of multi-underlying exotic derivatives
  • Experience with use and implementation of MonteCarlo and PDE pricing engines
  • Experience with Implied LV, SLV and other volatility measures
  • Good knowledge of C++/ C#, Python, Excel, VBA, MATLAB is required
  • High proficiency in written and spoken English
  • Professional Client facing skills
  • Excellent communication skills
  • Managing/collaborating with team members sitting in India and US

What you'll get in return

Alongside a highly competitive package, this is an opportunity for you to work in a top global investment bank based out of London.

What you need to do now

If you're interested in this role, click 'apply now' to forward an up-to-date copy of your CV. If this job isn't quite right for you but you are looking for a new position within Data Science & Analytics, please contact Daen Huang at +65 63030158 or email for a confidential discussion on your career.

Hays Registration Number: 200609504D, EA License: 07C3924, Registration ID Number: R1658977