Overview
About the Role
Seeking a Securities Quantitative Analytics Specialist who is responsible for model customization and trading desk partnership across our Asia desks. The selected quant is expected to work during Market hours for Singapore/Tokyo/Hong Kong, and:
– Partner with the desk in daily market making tasks such as curve building, vol surface and model calibration tasks.
– Work in our quant library, as needed, to adapt our generic, region independent models to be used by our Asia desks.
– Work with Technology teams in all aspects of model integration, with special focus on our curve building and valuation strategic platforms.
– Produce high quality model documents that satisfy model validation and regulatory requests
– Collaborate with and support Front office Trading, Technology Partners, and Model Validation/Governance teams.
Functional Responsibilities
Duties include, but are not limited to:
– Play an integral role to the trading floor in tasks such as curve building, vol surface and model calibration tasks and help solve their problems.
– Participate in model development and deployment
– Participating in model software implementation
– Writing code (in Python, C++ etc.) and refactoring code
– Testing and testing documentation
– Participating in unit testing, large scale Quant testing, pre-integration testing, integration testing, regression testing, UAT
– Participation in issue resolution
– Debugging case preparation (to produce isolated cases to demonstrate the issues) for the on-shore Quants
– Debug and conclude data issues/model input issues
– Part of the model documentation
– Production health monitoring tools
– Participating in the creation, execution and development of Front Office test plans
– Actively participating and contributing in team discussions on project specific areas/assignments
– Maintaining proper documentation of all processes and keeping the code up to date
– Answering ad hoc questions from various stakeholders including US Front Office Quants, populating templates or creating new reports/extracts/results as requested by stakeholders
Required qualifications
– A Master’s or PhD in a quantitative field such as math, statistics, engineering, physics, economics, computer sciences, etc.
– 10+ years of experience in Securities Quantitative Analytics, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
– 3+ years experience in rates and/or FX derivatives Quant models
– Excellent verbal, written, presentation and interpersonal communication skills
– Hands-on experience in programming in, e.g., Python or C++
– Good writing skills