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CIB QR - Quantitative Research - Equity Derivatives - Vice President
July 11, 2019
The APAC Quantitative Research Equity Derivatives Team
The mandate of the team is to support and drive the transformation of the APAC Equity Derivatives business, with a wide range of responsibilities covering: model and payoff development for existing and new client demands; trading, risk management and hedging automation and optimization; analyze and develop systematic trading & hedging strategies, rationalization of sales/structuring/trading workflows. The team also acts as a culture carrier for modern data-driven business methods and brings data-driven decision making and automation to the Equity businesses.
Day-to-day partnership with equity derivatives sales, structuring and trading teams across a wide range of topics such as discussing trade ideas, identifying new business opportunities, optimizing pricing and risk management or analyzing complex problems with a view of rationalizing and systematizing the associated workflows
Develop data-driven decision making tools leveraging in-house analytics and cutting edge prediction models; build fully automated systems with a high degree of quantitative optimization
Contribute directly to the business and client franchise; identify and generate revenue opportunities
Manage relationships with all stakeholders and control functions and make sure we follow internal risk policies and procedures, as well as comply with external regulations
The ideal candidate brings quantitative experience in the Equity business (good understanding of derivatives and volatility in general), ideally combined with a background in machine learning techniques / statistics and a curiosity to expand in this field. Communication skills and drive are critical for the role as we expect the candidate to actively engage with the business and to bring cultural change towards a modern data-driven approach to business.
A PhD or Master's Degree in a quantitative discipline from a top-tier institution
Excellent theoretical and practical knowledge of derivatives pricing and risk management theory, vanilla options and volatility products
Outstanding problem-solving abilities and communication skills
A strong coding background with proficiency in C++, Python and relevant quantitative packages (numpy, pandas)
Not required but a plus
Experience with market making techniques and algorithm development
Good expertise in statistical modelling, machine learning & optimization, including standard techniques, linear, convex & conic optimization
Strong technical skills in data manipulation, extraction and analysis
Previous practical experience in solving machine learning problems using open-source packages (such as sklearn). Solid experience with TensorFlow or RL packages is definitely a plus.
Internal Number: 6116435
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