Candidate Value Proposition:
The successful candidate will have the opportunity to learn capital market valuation and risk models.
Typical Day in Role:
• Support Director/Senior Manager to validate derivative pricing models used in capital market and risk management for various purposes
• Provide reports for the summary of findings and opinions to the model approval committee
• Perform model testing and documentation
• Support Director/Senior Manager to validate derivative pricing models used in the capital market and risk management for various purposes including P/L calculation, sensitivity calculation, and limit monitoring, etc.
• Manage the validation projects independently or work in a group; review model documentation; conduct research on new methodology and validation techniques; design and implement validation test plan.
• Provide reports for the summary of findings and opinions to the model approval committee.
• Manage relationships with key contacts as identified for each validation request submission
• Comply with internal policies, procedures, and regulatory requirements where applicable
• Provide support to large-scale projects as required
• Keep abreast of industry and regulatory developments and evolving expectations; develop relationships with counterparts at other financial institutions
Candidate Requirements/Must Have Skills:
1) 1 to 2 years experience in quantitative positions such as model development or model validation.
2) 2 years experience in Python Programming.
3) In-depth knowledge in one or more of the following product types and modeling techniques is preferred: equity derivative, fixed income derivative, commodity derivatives, fx and credit derivatives; local/stochastic volatility modeling, IR curve bootstrapping, etc.
4) Strong knowledge in applied math/statistics and numerical methods such as Monte Carlo simulation, Bi-Nomial Tree and numerically solving PDE.
Nice-To-Have Skills:
Industry certification or credentials will be an asset (e.g. CFA, FRM)
Soft Skills Required:
1) Effective project and time management to efficiently deliver concurrent projects with competing priorities with good quality.
2) Ability to supervise as well as independently deliver work assignments efficiently.
3) Constructive conflict management ability; ability to collaborate effectively with model owner/sponsor counterparts as well as internal audit and regulators.
4) Effective presentation and strong spoken and written communication skills are essential.
Education: Advanced degree in quantitative fields such as Mathematics, Physics, Computer Science, Financial Mathematics, Financial Engineering (Master or above – mandate, Ph.D. Preferred) –