Front office Pricing C++ Quant Modeller (Interest rates derivatives)

Title: Lead Quant (Rates)

Job Duties

• The role will require working closely with the model development team of a large global bank. This will include developing new models, enhancing/improving, maintaining existing models to support the bank’s business activities and regulatory mandates.
• The candidates are required to have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to Rates models and Counterparty Risk and CVA methodologies
• Experience in yield curves for swaps and bond pricing, multi-curve environment comprising cross currency curves and cheapest-to-deliver curves

Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modelling methodologies, model construction/testing, models implementation, integrating models into existing systems, model documentation and review.

Qualification

PhD – Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or  Masters in Financial Engineering (MFE) with relevant experience can also apply

Skills Required

• Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.
• Exposure to pricing models for interest rates derivatives including exotic and structured and hybrid products. For example Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.
• Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial
• Sound knowledge of standard tools and platforms used in the industry
• Ability to explain complicated concepts with ease to a wide range of audiences.
• Expert level programming skills in C++.
• Good communication skills, team-work and flexibility