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Exotic Interest Rates Desk Quant (VP, Dir) Singapore

Millar Associates
Singapore
Posted 2 days ago Flexible Permanent To $500k SGD
C
Posted by
Craig Millar
Recruiter
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++ ,

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
Job ID  EIRQ-1107
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