Exotic Interest Rates Desk Quant (VP, Dir) Singapore

Singapore
Ref: EIRQ-1107
To $500k SGD
Major Global Investment Bank
Exotic Options Trading, Rates Structured Notes, Curves, FX, C++ ,

This leading investment bank is an Asian powerhouse and has a great opportunity for a talented Rates Quant to join their front office team in Singapore as they seek to add a VP or Dir level individual to support the non-linear exotics and structured notes trading desk.  This is an outstanding opportunity to join a global front-office team, closely aligned with revenue generation.  Applications are welcomed from both local and abroad.

KEY RESPONSIBILITIES:

  • Provide quantitative expertise to non-linear Rates traders, structures, and marketers
  • Design and implement interest rate models for derivative valuation and trading
  • Expand and upgrade existing rates option models used by the trading desks (SABR, Short Rate Model, etc.)
  • Help develop and maintain their C++ model library (yield curves, risk reporting, etc.)
  • Work with other areas of the bank on model issues and approval.

KEY SKILLS & EXPERIENCE:

  • 4-10 years' experience in Rates modelling for non-linear rates options
  • Strong technical skills, yield curves, with libraries, 
  • Great communication skills and able to discuss model issues and assist traders
  • Knowledge of the major curves (& Hull & White, etc.)
  • Good C++, Python, Excel/VBA
  • Masters or PhD in a quantitative discipline