Front Office Rates Quant (VP, Dir), Singapore & London

The Quantitative Analytics group at this top-tier investment bank supports the front office businesses in trading & structuring a range of rates & Libor products. They now seek a talented Quant to support Curve & Term-structure modelling for Rates derivatives pricing and Libor migration.

KEY RESPONSIBILITIES:

• Build & implement pricing models for Rates-linked Derivative 
• Document & testing new and existing models
• Support the analytics model library for the quants, trading & risk

KEY SKILLS & EXPERIENCE:

• 5+ years years analytic, modelling, pricing & risk skills gained in finance
• Programming using C++, Python
  Understanding of Rates, Linear & Non-linear & Credit. XVA modelling a plus
• Experience gained either at a bank or at a Risk software house developing derivative pricing models
• MSc or PhD in Finance, Maths, Physics, Comp Sci, Econometrics, Stats or Engineering
• Available for occasional international travel