22491496 Exotics Desk Quant - Singapore - CITICORP INVESTMENT BANK (SINGAPORE) LIMITED
Description
Responsibilities:
- Develop analytics libraries used for pricing and riskmanagement
- Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including advanced calculus, C++ including STL, object oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/programming and statistics and probability, especially stochastic calculus.
- Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
- Collaborate closely with Traders, Structurers, and technology professionals.
- Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure
- Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
- Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm's reputation.
- Be familiar with and adhere to Citi's Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same
- Adhere to all policies and procedures as defined by your role which will be communicated to you
- Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe
Qualifications:
- 510 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
- Must have technical/programming skills; C++ and Python Exposure to Market Data; Statistics and Probability based calculations and stochastic calculus; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles
- Must also possess any level of product knowledge, Investments and Quantitative Methods
- Consistently demonstrates clear and concise written and verbal communication skills
Education:
- Bachelor's/University degree, Master's degree preferred
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