- To develop models for derivatives of Fixed Income (Rates / Credit), Currencies and Commodities and integrate the models in the respective systems.
- To implement the models in derivative warehousing systems.
- To collaborate with IT developers on the development of functionalities of the in-house system for exotic products.
- To perform risk study of derivative portfolios and provide input on risk management.
- To work with Group Risk on the validation of models.
- To contribute to the qualitative risk management derivative portfolios in the front office.
- Work closely with colleagues globally.
- Good understanding of the financial market especially the FICC derivative business.
- Experience working in Front Office Model Development (C / C# / C++)
- Post Graduate Degree (PhD / Masters in an appropriate Quantitative / Scientific or Mathematics discipline)
Please include a copy of your resume with your application.