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.