Quantitative Analyst

4 days ago

Singapore BGC PARTNERS (SINGAPORE) LIMITED Full time

Capitalab, a division of BGC Brokers, is looking for highly talented, quantitative, energetic, confident, delivery-oriented quantitative analysts to work within the Capitalab front-office development team, which is split across Singapore and London.

**Group Description**
The Capitalab division is a quantitative financial technology group within BGC, founded January 2015, responsible for optimising portfolios of financial derivatives for global investment banks and buy-side clients. Based in London, Singapore and Toronto, the teams work directly with Capitalab management to develop innovative, revenue-facilitating, market-leading services within the Capital Markets industry.

Capitalab focuses on multilateral derivatives compression and portfolio optimisation. It has eliminated over $10 trillion of gross notional and generated over $30 billion of Initial Margin savings for its global clients across Interest Rate Options (Swaptions + Cap/floors), Interest Rate Swaps (cleared and non-cleared), Cross Currency Swaps, Listed Equity Index Options, FX Options and FX Forwards portfolios, with 40+ major institutional clients participating in 100+ successful optimisation cycles.

You will be working as one of the early joiners of the division, with a huge potential to grow an already successful business. Suited for a highly motivated self-starter. The product is high profile, client facing, and highly technical.

**Essential Experience**:

- Excellent knowledge of financial mathematics, derivative pricing and risk management
- Strong knowledge of SQL, Excel, VBA, Python, C++ or C# development skills and techniques
- Executing compression and portfolio optimisation services

**Desirable Experience**:

- Strong knowledge of vanilla option pricing and risk (Swaptions, IBOR Caps & Floors, FX Options, Equity Options, Resettable Cross Currency Swaps)
- Quantitative understanding of option pricing models (SABR, Vanna-Volga, SVI, Black-76)
- Strong knowledge of numerical algorithms (optimisation, interpolation, linear algebra)
- Working experience as a front office quantitative analyst
- In-depth understanding of the ISDA SIMM initial margin model
- Understanding of derivatives portfolio compression drivers, including bank capital metrics, G-SIB assessment scores, Basel III leverage requirements
- Quantitative knowledge of SA-CCR (Standardised Approach for Counterparty Credit Risk)
- Familiarity with the LIBOR / RFR transition and associated changes to CSAs & discount rates
- Understanding of multi-curve stripping and CSA-discounting

**Soft Skills**:

- Highly motivated self-starter
- Capable of managing own workload, while providing regular feedback to management
- Confident communicator capable of working directly for stakeholders
- Entrepreneurial approach to problem-solving
- Collaborative approach to working as part of a global team
- Ability to work in a demanding environment

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