Senior Quantitative Analyst, Financial Markets
The role requires a hybrid derivatives quantitative analyst, having worked with in Interest Rates and FX asset classes
Summary about this job
Other
Company: Westpac Institutional Bank
Location: Sydney
Work type: Full Time
Salary: Attractive salary package
Phone: +61-2-4849-6512
Fax: +61-7-8519-9244
E-mail: n\a
Site: n\a
Detail information about job Senior Quantitative Analyst, Financial Markets. Terms and conditions vacancy
The Team
Quantitative Solutions is responsible for derivative pricing, risk and independent valuations across our financial markets businesses. In addition, we build and maintain our in-house pricing library used globally in various systems and applications. We built and maintain a number of in-house trading and sales tools.
The Role
The role primarily requires a hybrid derivatives quantitative analyst, having worked with in Interest Rates and FX asset classes using existing market standard models.
Exposure to XVA modelling would be an advantage.
Core responsibilities include:
- Enhance and maintain the C++ in-house derivative analytics library used globally by markets and treasury;
- Proactively working with the desks for pushing best practices in pricing and risk solutions;
- Working with the desks to provide predictive tools for derivatives trading as well as day to day quantitative support of the business;
- Provide mentoring and support to the rest of the team.
About You - To be successful you will have the following:
- PhD in Mathematics, Physics or Engineering;
- Minimum of 5 years in a similar role in Interest Rates, FX and development experience in C++;
- Thorough understanding of pricing both Fixed Income and FX derivatives products is essential;
- Demonstrable experience having built or maintained modern Interest Rate or FX models, in particular OIS curves, SABR, Cheyette, LSV and Heston;
- Thorough understanding in the use of numerical techniques such as PDEs or MC to model stochastic processes;
- Experience in building risk management tools;
- Delivery-focused and able to respond to business requests quickly;
- Ability to develop and maintain key relationships with other divisions in particular IT is critical to the success in the role.
At the Westpac Group, we have a vision to be one of the world’s great service companies – this means helping our people, customers and communities to prosper and grow. We aim to be leaders in diversity, flexibility and as an equal opportunity employer.
As part of our commitment to creating a flexible, diverse and inclusive workplace, this role is open to experienced candidates seeking workplace flexibility. We invite candidates of all ages, people with a disability and Indigenous Australians to apply.