Senior Quant Developer

BGC Group; Singapore; On-site; SGD 110,000 - 180,000; Full time

Job summary

Fenics Market Data is seeking a pricing and analytics specialist to monitor, calibrate, and enhance pricing models for a range of financial derivatives and asset classes.

You will join a multidisciplinary team and leverage Python, C++, Java and real-time data feeds to deliver accurate valuations and robust documentation for internal and external use.

Qualifications

• Experience maintaining pricing of financial derivatives.
• Pricing experience across at least one asset class.
• Data sourcing and valuation knowledge with market impact awareness.
• Experience in real-time event-driven environments.
• Proficient with terminals (BBG/Reuters) and data comparisons.
• Programming in Python, Java or C++; knowledge of KDB+/Q helpful.

Responsibilities

• Monitor, maintain and calibrate pricing models.
• Investigate deviations in model variations from market observations.
• Assist with valuation of esoteric/illiquid assets.
• Prepare documentation to support pricing evaluation and regional hand-overs.
• Develop pricing models within an application framework.

Skills

Pricing derivatives

Pricing asset classes

Data sourcing

Market data valuation

Real-time event-driven env

BBG/Reuters terminals

Front-end usage

Data comparisons

Python

Java

C++

KDB+/Q

Multiple asset classes

Execution platforms

Hedging algorithms

Data access via database

Tools

Bloomberg Terminal

Reuters Terminal

KDB+/Q

Job description

Our multidisciplinary team – made up of quantitative analysts, data analysts, data scientists, product specialists, developers and testers – is responsible for the development and production of data for the Fenics Market Data business. This data is widely used both internally and externally and as such we aim for the highest possible standards. Each project is typically developed with a cross-section of team members from the different disciplines. This multi-discipline collaboration enables individuals to gain exposure (and contribute) to what other parts of the team and organisation are doing.

Key Responsibilities

Monitor, maintain and calibrate pricing models

Investigate and resolve deviations model variations from market observations

• Assist with the valuation of esoteric / illiquid assets
• Prepare documentation to support the pricing evaluation process and enable hand-over between regions

Development of pricing models within an application development framework

Skills / Experience

• Proven background in maintaining accurate pricing of financial derivatives
• Proven background in pricing at least one asset class
• Data sourcing, asset pricing and valuation knowledge with an understanding of how market and asset data will affect valuations
• Experience in working within real-time event driven environments (as opposed to daily snapshots)
• Experience of regular use of terminals such as BBG and Reuters including:
• Front-end usage
• Technical experience of working with data and building data comparisons
• Python, Java or C++ (Intermediate level on at least one)
• Background with multiple asset classes is an advantage
• Electronic Trading Systems & Execution Platforms
• Execution & Hedging Algorithms
• Python or other programming languages advantageous
• Data access via database experience advantageous
• Python, Java, C++, KDB+/Q, C

Personal Attributes

• Problem solving:
• Proven ability to take complex business requirements and translate these into tangible, workable and commercially smart solutions while leveraging best practice tools and techniques
• Analytical:
• Ability to understand and respond to complex problems, draw and present the right insight and recommendations effectively
• Collaborative approach to working as part of a global team
• Capable at managing your own work load, while providing regular feedback to management
• To be alert to Conduct Risk issues, specifically the risk of harm to client interests, market integrity and/or competition in financial markets due to inappropriate practices or behaviours across the firm