About the Role
At ANZ our purpose is to shape a world where people and communities thrive. We’re making this happen by improving the financial wellbeing and sustainability of our customers so they can achieve incredible things– whether they’re buying a home, building a business, or saving for things big or small.
The Quant Analyst Manager will be working as part of the Front Office Quants and Analytics team towards Sky platform build and support and will be based in Singapore. Sky is an ANZ-developed front-to-back integrated pricing and risk management system that provides a single source of real time pricing, valuation and risk management for markets related activity across ANZ. Launched in 2014, it has grown from being a rates-only platform to the preferred solution for all products at ANZ.
The role requires product and modelling knowledge and experience in one or more of the following asset classes:
a) Interest Rate Exotics
b) FX Options and Exotics
c) Commodity derivatives
d) Credit derivatives.
Cross asset product knowledge including prior experience of XVA framework (CVA, FVA, RWA, or KVA) modelling approaches, and other aspects of counterparty credit risk management would be greatly advantageous. Also, familiarity with software development lifecycle and processes (e.g., testing, code reviews, source control and issue tracking) is essential.
What will your day look like?
(a) Design, implement, test, and support the core analytics library for Markets Front Office across multiple asset classes.
(b) Develop pricing and risk models, leveraging advanced financial mathematics, statistical and probabilistic methods, as well as numerical methods such as Monte Carlo and Partial Differential Equation solvers. The primary programing language used in the core Sky library development is C++.
(c) Develop, implement, test, and deploy advanced Greeks methods such as AAD (Algorithmic Adjoint Differentiation).
(d) Close collaboration and support of FO trading, structuring as well as other enablement functions such as model validation.
Role Type: Permanent, Full-time
What will you bring?
To grow and be successful in the role, you will ideally bring the following:
- 5+ years’ experience in a comparable quantitative modelling role, ideally in the financial industry.
- PhD level degree in a relevant quantitative discipline.
- Financial product knowledge as well as hands on experience implementing quantitative models in a Front Office setting.
- Fast and eager learner, with good analytical and communication skills.
- Excellent technical and programming skills in C++ as well a solid understanding of software design principles and software development life cycle.
You’re not expected to have 100% of these skills. At ANZ a growth mindset is at the heart of our culture, so if you have most of these things in your toolbox, we’d love to hear from you.
Why join us?
There’s something special about being part of ANZ. From the moment you join us, you are part of a team working towards a common goal: improving the financial wellbeing and sustainability of our millions of customers.
As a Purpose-led bank, we’ve committed to delivering commercial and societal outcomes across environmental sustainability, financial wellbeing, and household affordability. We deliver these sustainability commitments with our customers, in our business and across the communities where we operate.
But it’s not just our customers who’ll feel your impact. You’ll feel it too. Because at ANZ, you’ll have the resources and community you need to take the next big step in your career, towards even bigger things in the future.
We offer a range of benefits tailored to the countries in which we operate including Health and Wellbeing programs.
You’ll also enjoy working in a diverse and inclusive workplace where the different backgrounds, perspectives and life experiences of our people are celebrated. We encourage you to talk to us about any adjustments you may require to our recruitment process or the role itself. If you are a candidate with a disability, let us know how we can provide you with additional support.
