Securities Quantitative Analytics Specialist - Rates & FX Quant - Asia Desk

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