As a Quantitative Research Analyst - Associate supporting Interest Rate Exotics desk, you will be immersed in a dynamic working environment, supporting trading activity, pricing, risk-management on a diverse portfolio of complex and hybrid interest rate structures.
In additional to model development and implementation, we expect you to share in a balanced mixture of responsibilities, including support for and discussion with traders, model testing and documentation, model deployment, pricing and risk investigation, product-specific analysis, software and trading tool development.
Job Responsibilities:
- Develop arbitrage-free financial models based on stochastic processes for pricing and risk management of interest rate derivatives.
- Implement and maintain C++/Python analytics library; write well-formulated documents on testing and validation of models for internal and regulatory reviews/approval.
- Deliver infrastructural analytics for historical back-testing and conduct research on market behaviors through statistical analysis.
- Provide on-site support to traders, control functions and other relevant teams: explain model behaviors and Profit and Loss (pnl)-prediction at request; conduct quick diagnosis on any reported model issue; identify major sources of risks in portfolio; carry out scenario analysis; facilitate new business/product structures, etc.
Required Qualifications, Capabilities and Skills:
- Advanced degree (PhD, Master or equivalent) in Mathematics, Math Finance, Physics, Engineering or other quantitative fields.
- Good understanding on advanced mathematical topics, e.g. probability theory, stochastic calculus, partial differential equations, numerical analysis, optimization etc.
- Strong engineering/scientific programming skills in C++/Python.
- Strong analytical and problem solving abilities.
- Strong communication skills, both oral and written.
- Motivated to learn and genuine interest in Interest Rate Models.
Preferred Qualifications, Capabilities and Skills:
- Knowledge or experience on interest rate modelling is a plus but not strictly required.