Vacancy detail

Exotic Rates/XVA Quant – assoc level

Location: Singapore (Singapore) Type: Permanent

Exotic Rates/XVA Quant – assoc level

Singapore based

 

 

Job Role:

 

Develop and maintain models and systems for the pricing and risk management of Flow and Structured Interest Rates products. Trading desk support.

 

Responsibilities:

 

  • Improve existing models.
  • Implement new models for the pricing of Flow and Structured Interest Rates products.
  • Provide the risk management tools for the above products.
  • Write prices and risk reports.
  • Write model and pricer documentation.
  • Write model and pricer test material.
  • Maintain the trading system.
  • Provide trading with local support.

 

Requirements:

 

  • 2 years + experience as a front office quant - must have interest rate (exotic) derivatives and/or XVA experience. Inflation also useful.
  • Excellent educational background (PhD/Masters).
  • Strong maths, modelling, stochastics and C++ coding.
  • Good communication skills.

Reference: AMC/AMO/SPA1. To apply for this vacancy: email Sumaiyah Patel

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