Senior Structured Credit Quant (Director), Hong Kong
Excellent Base & Front Office Bonus
Top-tier Investment Bank
CLNs, CDOs, Credit Repos, Index tranches, etc.
The global Quant Research group at this Tier-1 Investment Bank is seeking a senior Quantitative Analyst for the Credit trading desk to develop and implement Structured Credit models for its Hong Kong office.
With a minimum of 5-10 years in quant finance, IT development, trading environments, this is a great opportunity work with traders & quantitative peers in developing a range of Structured Credit products in a tier-1 banking group.
- Design of mathematical models across Flow & some Structured Credit
- Communicate effectively with traders and structuring team
- Support of trading desks on pricing and hedging of complex products
- Implement mathematical models within the analytic library
- Support, releasing, maintenance and integration of the library.
SKILLS AND EXPERIENCE:
- Flow Credit knowledge essential: CDS, Bonds, CLNs, repack Swaps & similar, CMS spreads
- Excellent Structured Credit knowledge: CLNs, CDOs, Credit Repos, Index tranches, etc.
- Statistical analysis and interpretation of quantitative data
- Strong programming abilities in C#, C++ or Java with Python or Java script
- PhD/Masters in a quantitative field (Maths, Statistics, Physics, Engineering)
- Interest in the wider IT culture (machine learning, parallelization, network, new languages)
- Improve the Machine learning based platform for e.g. Credit Repo & other desks
- Experience of electronic markets, models and arbitrage strategies