Job Offer Finance Vice President Derivatives Quant Modelling, Fixed Income and hybrids, CVA, Singapore-Salary $140,000-$150,000 base USD selby-jennings-singapore Financial Engineering, Mathematical Finance, Financial IT, Quantitative Finance.

A top investment bank is currently looking to expand its Fixed Income CVA and Hybrids library with the acquisition of a highly experienced Quantitative Modeller.

You will ideally have some experience modelling CVA, however you may also come from more of a pure CDO, CCDS or IR and Credit Hybrids background.
This role will require a very high level of mathematical finance ability including the creation of complex derivative pricing models using high end mathematical modelling such as Stochastic Calculus, advanced PDE's, Stochastic Volatility etc., as well as highly technical programming libraries in C++ that will allow the CVA team to work on a cross asset platform.
The role will allow you to be part of one of the fastest growing areas in trading at present and join a bank that is rapidly expanding not only in Asia, but Europe and the US as well.
This role can potentially lead to regional head responsibilities as the group expands and supports more desks globally.

Responsibilities:
Designing and implementing models to support CVA trading working very closely with the desk
Designing and implementing multi-currency FHJM Monte Carlo simulators to deal with interest rates, Commodity, FX and credit hybrid products in relation to CVA.
Developing pricing models and building up the C++ library in order to integrate with the banks advanced trading systems.
Help lead a team of highly technical PhD Quants and IT support to create a highly efficient business unit.

Qualifications:
-Significant experience in interest rate and Hybrid products and modeling.
-Strong academic background to PhD level in a highly quantitative field, such as Computational Finance, Mathematics, Physics, Financial Engineering etc.
-Exceptional Mathematical modeling credentials, with working knowledge of Stochastic Volatility with jumps, advanced PDE's, Libor, HJM etc.
-Strong programming knowledge in C++, C, Visual Basic, Java, SQL, VBA etc.
-Good leadership ability with clear communication skills.

For more information please contact the Quant Exotic team on 00 44 207 019 4137
Please apply by mail with CV in Word format

www.selbyjennings.com

Apply by email.
Please do not modify the subject of the mail or your application will not be considered.