A leading Investment Bank in Singapore is proactively looking to recruit a front office modelling quant for FX/Commodity products. Those successful, will be developing & implementing derivative pricing models across this desk alongside supporting the local trading desk.
Location: Tokyo, Japan
The role will be focused on a comprehensive review of IR/FX valuation models used in the firm for valuation and risk management of their positions.
Development of front office derivative pricing models
Review of implementation
Benchmarking these models by implementing both cash flow projection models and stochastic models
Model Validation risk analysis - Communicating clearly with rest of the team & senior managment
Ensure correct and robust implementation of the models
Confident with various numerical methods to quantify PV & risks of a transaction (analytical, monte-carlo)
Understand the basic regulatory framework
Essential: ●A minimum of 2-4 years working experience in a quantitative environment ●A postgraduate degree in a quantitative discipline ●Established experience in IR pricing models ●Advanced programming experience in a professional environment in C++ (Python also desirable) ●Excellent English verbal and written communication and interpersonal skills
Desirable: ●PhD (or equivalent) in a quantitative discipline ●Knowledge of FX and long dated FX models/products ●A proactive approach to model risk management ●Japanese proficiency desirable