Derivatives Pricing Support Lead

Selby Jennings
Singapore, Singapore
30 Mar 2023
29 Apr 2023
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Our client is a leading Asia focused alternative investment manager. With billions of assets under management, their ultimate objective is to achieve superior risk-adjusted returns for their clients, with strategies ranging from unconstrained active management to systematic quant approaches.

They are looking for a senior Analytics/ Derivatives Support Team Lead to support Risk and Portfolio managers.

Job Description

The position will involve supporting libraries and tools that carries out numerical modelling and connects to various technology interfaces for obtaining Trade information, Market Data and Reference Data.

This role will give the candidate exposure to a broad range of pricing in FX, Equities, Fixed Income, Commodities and Credit asset classes.

  • Own & maintain all Derivative curves & surfaces used for Pricing and Risk management in Production.
  • Lead work on Valuation Support Projects & participate in Model Development
  • Monitor production channels for PnL, Pricing and Risk issues and participate in coordinating a fix with Quant Analytics Team.
  • Be fully responsible for making sure production valuation issues are fixed satisfactorily, incident analysis(RCA) is carried out, and appropriate remedial action is taken to mitigate recurrence.
  • Oversee production reporting of issues to Head of Quantitative Development and co-ordinate with Project manager for scheduling production bug fixes/ priorities.

Experience, Requirements & Skills
  • Understanding of different asset classes and the associated instrument types in FX/Rates/Equity asset classes.
  • Experience with an inhouse or vendor-based Risk Management System.
  • Experience with any Trading or Order Management System from Vendor perspective is desirable.
  • Effective management and organization skills, meticulous and detail-oriented, able to work under extreme pressure in a fast-paced environment and adjust the priority of according to production demands.
  • Proven track record as project lead in a production setup involving multiple stakeholder groups, building strong understanding of stakeholder priorities and subject matter.
  • Demonstrates a mature, commercial perspective in day-to-day decision making.
  • Excellent problem-solving ability, and an analytical mind-set.
  • Excellent verbal and written communication skills in English is a must, as well as being capable of building strong working relationships and interacting professionally with senior members of staff.
  • Recent experience in a similar role with a Team size of 2-5 people is expected.