Traded Risk Model Review and Validation Manager, (Banking: Pricing, Risk Modelling Derivatives), 6 m
- Employer
- Hays Malaysia
- Location
- Singapore, Singapore
- Salary
- S$9k - S$15k
- Posted
- 25 Jun 2022
- Closes
- 13 Jul 2022
- Ref
- 15578740
- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
Key responsibilities
Qualifications & Skills
EA License Number: 07C3924 | Company Registration No: 200609504D
- Traded Risk Model Validation is a group that performs in depth technical model validations of models covering pricing, market and counterparty credit risk of derivatives spanning all asset classes. This opportunity is for a contactor to perform model validations and conduct independent testing. The role is expected to conduct validations flexibly across a broad range of models. The role requires collaborative working both across the local teams in Poland, London, and Singapore.
- • Delivery of validations of a high quality and according to agreed timelines.
- Review and validation of at least one of: front office derivative pricing, market or counterparty risk models.
- Liaise with key stakeholders, including sales & trading, front office quantitative analysts and developers, market risk management, counterparty risk management, XVA and valuation control throughout the model risk model lifecycle.
Qualifications & Skills
- Strong academic background (Maths/Physics) is a must.
- Strong coding skills C++/Python or other languages is a must.
- 3-5 years' experience in either a model validation or model development role covering pricing, or risk modelling for derivatives.
- PhDs/MSc. in highly numerical subject such as mathematics, physics, engineering, or mathematical finance is a plus.
- Demonstrable knowledge and ability to apply mathematical techniques in modelling problems ideally including stochastic calculus.
- Knowledge and some practical experience of coding, ideally including C++ but other languages would be considered.
- Strong communication skills to facilitate the ability to work effectively as part of a Global Team and liaise with key stakeholders. Fluency in written and spoken English.
- Strong writing skills with ability to present conclusions and recommendations from technical projects to a less technical audience.
- This role is only open to Singaporean or Singapore PR.
- The max monthly salary range is 9000 SGD till 15K SGD max.
EA License Number: 07C3924 | Company Registration No: 200609504D