Quant Analyst - Model Validation

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