To conduct pre and post-implementation of derivatives and market risk models, in line with best practices, used in the Bank for pricing and risk management, including :
Assessing model inputs, model assumptions, market conventions, model theories, Model
limitations and mitigating factors.
Developing independent models for FX, IR, Credit, Equity and Commodity derivatives.
Developing automation tools for model validation activities.
Developing appropriate controls to mitigate for model risk and market uncertainty.
• To identify sources of model risk by thoroughly and comprehensively review all model
components and developmental evidence.
• To engage with stakeholders (Market Risk,Front Office Quant / Structuring / Trading Teams)
effectively and maintain productive working relationships.
• To provide healthy challenge to model developers and ensure models approved are of highest standard.
• To keep abreast with market and regulatory changes. To be aware of Regulators’ requirements and ensure adherence.
• To clearly and concisely communicate the model review results to the rest of the team, other functions and senior management.
• To present and explain the validation results to the management committee for endorsement and approval.
• Take ownership of some of the team’s internal initiatives
• Advanced Degree (Masters or PhD) in Quantitative Discipline (Physics, Statistics, Mathematics, Finance, Engineering etc.) from recognized universities.
• Relevant experience in developing or validating quantitative pricing and risk models in traded market risk. Other strong analytical and quantitative analysis experience will be considered.
• Familiar with stochastic modelling techniques. Analytical skills, knowledge of mathematical models, stochastic calculus, Monte Carlo simulation and PDE modelling are required. Candidates with IBOR Transition /OIS curve construction experience will be advantageous.
• Good understanding of the trading & treasury business (across all asset classes) and models; and good understanding of the regulatory framework.
• Self-motivated person with a high level of drive,dedication and desire to excel consistently.
• Excellent verbal and written communication and interpersonal skills.
• Meticulous,organised and self-assured with ability to interact well with various working levels.
• Advanced programming skills in C++,Mathlab, VBA, R, Pythonetc.
ONLY SHORTLISTED APPLICANTS WILL BE NOTIFIED.