Fixed Income Developer, Associate
We are currently seeking a proven and experienced hands-on senior developer within Interest Rate Derivatives Technology group. Our team works closely with Interest Rates Sales & Trading and Quantitative Strategists team to develop next generation risk and trading systems to achieve their business goals.
A successful candidate would have responsibilities like below:
- Provide IT coverage for Interest Rate business in Non-Japan Asia, with day-to-day interaction with sales/trading, desk strategies, FID COOs, operations, controllers, and market risk department;
- Develop tools for salespeople and traders to keep ahead of the market;
- Integrate mathematics models like SABR or HJM simulation model into the risk system for a wide range of products, like bonds, futures, listed options, interest rate swaps, inflation products, cap/floor/swaptions, CMS, Bermudan options, exotic options, FX/Equity/ Credit/ Commodity/ Inflation hybrid products, and structured notes.
- Develop tools to handle market data (market data calibration, real-time market data, eod marking, derived market data, historical market data retrieval APIs, etc)
- Develop large-scale distributed systems to compute and report intra-day and eod-of-day risks, PnL (Profit and Loss) and market scenarios to senior management, trading desks, controllers, and market risk department;
- Design APIs so that the pricing and risk analytics can be accessed programmatically by other internal systems and processes;
- Migrate portfolio from legacy systems to our new proprietary cross-asset risk calculation system, which would help to drive revenue, improve the business efficiency, respond to regulatory requirement, and reduce capital requirement and IT cost;
The role requires someone who is self-motivated and fast-learning, delivers results quickly, takes ownership of critical problems and works throughout the full project lifecycle from problem analysis to successful delivery of the solution.