Quantitative Research Development Director

  • Competitive
  • Hong Kong
  • Permanent, Full time
  • Societe Generale
  • 22 Nov 17 2017-11-22

Quantitative Research Development Director


Environment

SG CIB is the Corporate and Investment Banking arm of the Société Générale Group. Present in over 50 countries across Europe, the Americas and Asia. SG CIB provides corporate, financial institutions, investors and public sector clients with value-added integrated financial solutions.

Mission

Major Accountabilities

The Quantitative Research Development team addresses all issues of a quantitative nature within the Capital Markets division. Its main areas of focus are:

  • Designing models and algorithms for the pricing of exotic trades
  • Coding and testing of such algorithms for subsequent implementation (by separate team) in pricing library
  • Studying product risks and advising on hedging strategies and pricing methodologies
  • Studying historical data and advising on levels of exotic parameters (vols of vols, correlations etc)
  • Expertise on transversal subjects such as CVA, IM
SG's Quant team is at the forefront of technical innovation in derivatives modelling. Two of its members are well known figures in the industry: they are recipients of the Quant of the Year award and authors of reference books.

Profile

Summary of Responsibilities

The successful applicant is expected to bring high-level technical expertise to SG's trading desks in Hong Kong on all topics relevant to Quant department mandate. They are expected to:
  • Have modelling AND numerical experience commensurate to their seniority
  • Have excellent command of models for equities, rates, credit
  • Be able to code up from scratch any model for any asset class
  • Be able to take on issues of general relevance to QRD
  • Be able to generate her / his own research agenda

This is not a library / pricing quant position.

The successful applicant will be highly autonomous. Weekly video conferencing with the team in Paris ensures the free flow of ideas and the sharing of code.

Interact on a daily basis with traders and less frequently with structurers and Risk control functions.

Behavioural Skills

Team Spirit

  • The employee encourages collective success

Innovation

  • The employee will create conditions that encourage innovation

Responsibility

  • The employee acts with integrity and in an ethical manner

Commitment

  • The employee is committed t the role and inspires others

Client Orientation

  • The employee actively improves his / her relationship with clients