Senior Structured Credit Quant (Director), Hong Kong

Hong Kong
Ref: SSCQ-2409
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.

KEY RESPONSIBILITIES:

  • 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)

DESIRABLE:

  • Improve the Machine learning based platform for e.g. Credit Repo & other desks
  • Experience of electronic markets, models and arbitrage strategies