Front-Office Quantitative Analyst, Global Treasury (GT) Malaysia

  • Competitive
  • Kuala Lumpur, Malaysia Kuala Lumpur Kuala Lumpur MY
  • Permanent, Full time
  • OCBC Bank (Malaysia) Berhad
  • 21 Jul 18 2018-07-21

Front-Office Quantitative Analyst, Global Treasury (GT) Malaysia

We are looking for an experienced individual with 5-7 years post graduate extensive experience in designing and implementing quantitative/risk modelling.
Roles and Responsibilities:
Assist GT product structuring and sales teams to develop maintain, enhance and re-factor the front-to-back solution to support structured product businesses across asset classes, including FX, Rates and Equities.
 Improve optimization of overall GT architecture, databases, market data and infrastructure of analytics library and front-end tools;
 Provide parallel programming, analytics and visualization on performance analysis / project trends/patterns
 Building GT matrix dashboard to optimize capital utilization and revenues on counterparty credit risk(cva/fva/dva), RWA, RAROC.
 Provide technical expertise to GT on conventions, pricing and configurations in Murex across IRD, FX derivatives (i.e. rates curve/credit yield/volatility surface construction)
 Provide quantitative support to Global Treasury (GT) when liaising with internal
(i.e. trading desks in GT) and external stakeholders( Risk, MRMA, Finance) with respect to:
- Assisting in scalable model development and validation for fair valuation from a GT perspective to enhance soundness, reasonableness, consistency of existing in-house model library and vendor systems that will be used for warehousing/ back-to-back purposes.
- Providing technical determination, rapid model validation and reasonableness testing in evaluating model fit and risk factors, to tighten time to market for client driven product and payoff variations.
 To assist in the structuring of financial products (inclusive of options on algorithmic indices) within Global Treasury portfolio of products aligned to the Bank's risk policies, internal system's and market demand.
 Provide valuation expertise on back-to-back structured products to meet margining CSA requirements, and tighten the mark-to-market differences to reduce frequency of collateral calls.

Qualifications
 Strong academic background in quantitative modeling and algorithms, such as a post-graduate degree in a highly quantitative subject (mathematics, physics, computer science, engineering or quantitative finance)
 Sound knowledge in probability theory, stochastic calculus, and numerical methods, e.g. PDE modeling and Monte-Carlo simulation
 Prior working experience in developing pricing models and analyzing risk behavior of FX/Rates/Equities exotics products
 Strong analytics in extracting data from relational database ( SQL ) to CSV file for further analysis via Python/R
 Strong computing skill with working knowledge of numerical programming in an object-oriented language, especially C#.NET or C++, VBA, Matlab, C++, Excel-DNA, R, Python, Laravel framework(php), mySQL
 Willing to take on a balanced mixture of responsibility including model research and development, pricing and risk investigation, software development/maintenance, and holding regular review meetings with internal
(i.e. GT Trading) and external stakeholders( Risk, MRMA, Finance).
 Excellent communication skills and able to work with various teams (risk, sales, structurers, IT, etc) in the bank.