Senior Quantitative Analyst – OIS recruitment
Senior Quantitative Analyst - OIS
Iconic Banking Institution - Asia Pacific Focus
Front Office Interest Rates - Linear Pricing
Six Figure Salary Package + Incentives Uncapped Bonus
With an outstanding presence in Asia Pacific in both retail and institutional domains, my client boosts an impressive global markets team of dedicated and talented quantitative analysts, traders, product managers, developers and research associates. As a result of significant growth trading across all asset classes (FX, Credit, Commodities, Equity and Rates) they are seeking a senior quantitative analyst specializing in OIS Pricing and Discounting.
Positioned within the Linear Modeling Group for Interest Rates Pricing, the role will involve the development of OIS pricing models using multiple curves as opposed to the standard derivative pricing framework with single curves. The ideal candidate must possess the experience and knowledge of OIS Discounting Methodology such as using multiple instruments (cross currency swaps, caps/floors and swaptions) and basis risks for dual curve construction, pricing and hedging while factoring in funding costs, counterparty credit risk and CVA. Relevant programming skills using Matlab and or C++ are also required.
Due to the limited supply of relevant OIS quantitative specialists in the market, candidates with at least 5 years of front office experience in interest rates modeling who have dabbled in OIS Discounting for at least 12 months are welcome to apply.
Please note that applicants who do not possess the relevant skills and knowledge within OIS Pricing will not be considered for the position.
To apply for this position, hit the APPLY button below or contact Oliver Spiers at BlackOcean Recruitment on +61 2 9230 0472 for a confidential discussion.