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Quantitative Analyst - Interest Rates – Senior Manager

Singapore, Sydney

We are looking for an experienced Quantitative Analyst to join the Quant Strategy team to work on Interest Rate modelling for our Commodities and Global Markets group within Macquarie. This is a front-office role, working with our global franchise, with the possibility of being based either in Australia or Singapore.

Our Quant Strategy team applies specialist methods from mathematics, science, and engineering to generate revenue. We work on data, models, and algorithms with application to derivative valuation and risk, automated trading, and data-driven decision-making.

You will:

  • design and implement interest rate models for derivative valuation and trading,
  • develop and maintain our quantitative model library with particular focus on yield curve construction, risk reporting and IBOR migration
  • provide quantitative expertise to traders, structures, and marketers
  • work with other areas of the organisation on model development and approval.

We are seeking a candidate who:

  • understands good research, demonstrated by outstanding academic achievements, including a PhD in a quantitative discipline (e.g. maths, physics or engineering), and has;
  • at least 5 years of experience in interest rates and/or exotic option modelling,
  • strong technical skills, with proven experience in C++ and Python.

About Commodities and Global Markets

Commodities and Global Markets provides clients with an integrated, end-to-end offering across global markets including equities, fixed income, foreign exchange and commodities.

Our commitment to Diversity, Equity and Inclusion 

The diversity of our people is one of our greatest strengths. An inclusive and equitable environment enables us to deliver innovative and sustainable outcomes for our people, clients, shareholders and communities. From day one, you'll be encouraged to be yourself and supported to perform at your best. If our purpose of ‘empowering people to innovate and invest for a better future’ is as inspiring to you as it is to us, please apply. With the right technology, support and resources, our people can work in a range of flexible ways.

We are committed to providing a working environment that embraces and values diversity, equity and inclusion. We encourage candidates to speak with a member of our recruitment team if you require adjustments to our recruitment process to support you, and the type of working arrangements that would help you thrive.

About Macquarie

A career at Macquarie means you’ll have the opportunity to develop and utilise new skills, explore interesting fields and do challenging work that will impact the lives of people around the world—whether it’s accelerating the green energy transition, helping sustain global food supplies, financing social housing projects or investing in essential infrastructure. At Macquarie, we’re empowering people to innovate and invest for a better future.

Our size and international presence means your work can take you anywhere—across business groups, disciplines, sectors and borders. With 17,000+ employees and offices in 33 markets around the world, we’re a truly global organisation.

You’ll be supported by a diverse team where the unique perspectives, ideas and experiences that all of our people bring are valued. You’ll be empowered to address unmet needs in our communities whilst advising and investing alongside our clients and partners. Working with us, you’ll have the opportunity to make a difference.

Macquarie is a global financial group providing clients with asset management, retail and business banking, wealth management, leasing and asset financing, market access, commodity trading, renewables development, specialist advisory, capital raising and principal investment.

Find out more at www.macquarie.com/careers

Job no: CGM-963848
Work type: Permanent - Full time
Location: Singapore, Sydney
Category: Mid-level, Commodities, Quantitative Analytics
Group: Commodities and Global Markets
Division: Central
Recruiter: Andrew Crosby
Opening Date: