This leading investment bank is an Asian powerhouse and Great opportunity for a talented Rates Quant to join a Global Investment Bank as it looks to 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 both local and abroad.
Exotic Options Trading, Rates Structured Notes, Curves, FX, C++ ,
- 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