Quantitative Modeller

  • Job category
    Banking and Finance
  • Job level
    Middle Management
  • Contract type
  • Location
  • Salary
    S$18000 - S$24000

Job Description

Quantitative Modeller


As a Barclays Quantitative Modeller, you will be providing quantitative model support and development for flow and structured credit products. You will work closely with both structured credit traders to price trades and help risk manage the trading books. You will be accountable for evaluating the full ecaonomics of the trades, including funding and capital costs.

Barclays is one of the world's largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. We offer careers that provide endless opportunity – helping millions of individuals and businesses thrive, and creating financial and digital solutions that the world now takes for granted.

What will you be doing?

  • Work closely with both structured credit traders to price trades and help risk manage the trading books
  • Develop new models and support existing models for structured single name and basket credit products
  • Create models that should be state of the art, practical and well understood by users, and thoroughly tested and documented
  • Take responsibility to scope and complete modelling projects—including where requirements are not yet understood or articulated clearly—with a high degree of autonomy
  • Adapt to change and work in a fast changing environment demonstrating initiative to spot potential problems and find innovative ways to solve them
  • Balance tactical and strategic solutions in line with the overall needs of the bank

What we’re looking for:

  • PhD or Masters in Quantitative Finance, Applied Mathematics, Operations Research, Statistics, or similar quantitative field with proven experience in a credit desk quant role
  • In-depth understanding of modern flow and structured credit products beyond single name and index CDSs
  • Proficiency in C++; readiness to take ownership of existing code base, debug and support, refactor, improve and contribute to existing extensive structured credit libraries
  • Ability to investigate daily position (PNL) and risk reports, understanding dynamics of PNL prediction and attribution, essential risk factors affecting products mentioned above

Skills that will help you in the role:

  • VBA/ Python/ C#
  • Familiarity with modern regulatory risk frameworks
  • Practical experience of supporting essentially credit-sensitive bonds, their repos and TRSs is great plus
  • Great communication skills, readiness to communicate directly with traders, risk, model validation and IT

Where will you be working?

Our office is located in Marina Bay Financial Centre, which has been carefully crafted into a “city in a garden”. Overlooking the scenic skyline along the Marina Bay waterfront, the green spaces and rooftop terraces have been designed to optimise employee well-being. The centre provides an integrated live-work-play development, surrounded by shops, restaurants, gyms and an alfresco dining area. Our convenient office location means you’re just a 5-minute walk from the nearest MRT station.

Closing on 02 Dec 2021

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