Exotic Interest Rates Desk Quant (VP, Dir) Singapore

Employer
Millar Associates
Location
Singapore, Singapore
Salary
To $500k SGD
Posted
02 Aug 2022
Closes
01 Sep 2022
Ref
15773755
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
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

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