Quant Analyst - Model Validation
Nr ref.: JO-1610-341925
The candidates will be required to have sound knowledge and exposure to pricing derivatives (in particular Fixed Income derivatives) and market/traded risk models in the capital markets space. This will include exposure to any of the following methodologies:
- Pricing/Valuation models
- Market Risk/VaR models
- IMM and Risk-based margins
- Enterprise-wide models including Operational risk and Economic Capital
Key responsibilities include (but not limited to):
- Understanding business requirements, modelling methodologies, model construction/testing, building prototype models, validating the models based on prescribed guidelines, model documentation and review, regulatory guidelines.
- Who we are looking for:
- Good Math skills and excellent knowledge of quantitative finance (stochastic processes; PDEs; Fixed Income derivatives pricing: ZCBs, swaps, swaptions; Yield Curve bootstrapping)
- Exposure to valuation/pricing models across asset classes
- Model review/validation experience would be helpful (for Validation assignments)
- Sound knowledge of standard tools and platforms used in the industry (C++, R, MATLAB, Python etc.)
- Good communication skills, team-work and flexibility
- Exposure to Basel II/II.5/III models for capital markets, SR 11-7 guidelines is a plus
- Exposure to various risk concepts including VaR, CVA, IMM and Risk-based margins amongst others is a plus
Qualifications: Ph.D in Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline. Candidates with Masters in Financial Engineering (MFE) or Mathematics with relevant experience and mathematical education background can also apply.
Experience: 2-5 years