FO Quant

JOB CONTEXT

·       
Global Markets division is a complex,
multidisciplinary business which requires constant innovation to remain competitive.
As the business develops our requirements for systematic improvements for
pricing and risk management are also developing.

·       
Key immediate requirements:

·       
Modernisation of multiple IR and FX curves

·       
Optimisation of volatility surfaces (all
assets)

·       
Propose correction for estimation curve
calibration residual limitation.

·       
Review existing curve set and identify
additional curves sets relevant to the business.

·       
Document curve construction and methodology.

·       
Identify enhancement possibilities for
discounting curve assignments to accommodate for different CSA (e.g. CCP/ARR
discounting, OIS discounting, CTD discounting etc.)

·       
Define the additional currency scope
extension (CHF, CAD, SGD, HKD, AED, NGN, EGP as identified priority) to
replicate the same upgrading process as the first batch of 5 currencies covered
in OIS Phase I.

·       
Review bank cost of funding curve methodology
and propose Libor discounting with cost of funding curve discounting for
Non-CSA trade in synchronization with xVA stream

JOB ACCOUNTABILITIES

·       
Participate and present at regular stake
holder sessions to keep updated with ongoing projects and deliverables (front
office, finance, product control, market risk, development team)

·       
Understanding and interpreting regulatory
requirements and ensuring our models and methodologies are compliant where
required

·       
Interacts closely and drive where needed
local and global development teams

·       
Excellent communication skills as required to
coordinate closely with the global front office teams and with enablement
functions

·       
Passion to deliver excellent solutionswith measurable positive bottom line
impact

REQUIRED EXPERIENCE AND SKILLS

·       
Proven experience in identifying, documenting
and delivering business requirements Bachelor’s or Master’s degree in a
quantitative field (e.g. mathematics, physics).

·       
Good programming skills (background algo data
structures) to develop models in C++ and Matlab environment.

·       
Strong knowledge of quantitative models
(multi-curve framework, interest rate models and volatility, commodities and
credit derivatives).

·       
Advanced mathematical skills and previous
experience working as a quant with financial quantitative modelling and risk
analytics.

·       
Broad knowledge of financial markets,
financial mathematics, industry best practice risk modelling methodologies,
knowledge of financial products (FI, FX, commodities, equities, derivatives),
their pricing models and a basic knowledge of stochastic calculus, statistics
and numerical resolution methods.

·       
Hands-on experience with model
implementations using Monte Carlo simulation, tree method and finite difference
method.

·       
Knowledge of Murex and/or Numerix would be
distinct advantage

·       
Ability to work accurately under pressure to
tight deadlines.

·       
Strong inter-personal skills in order to
interact confidently with management.

·       
Total banking experience of 8 years with a
minimum of 5 years specific experience in a quant analyst function.