Quantitative Analyst - Trading Pricing Model Validation

Job Summary

• Singapore
• Permanent
• JN -042023-1930877
• Apr 12, 2023
• Competitive

Job Description
Morgan McKinley is working in partnership with a Multinational Corporate Bank who are well known for their Corporate Lending and Financial Markets business in the APAC region.

Role and Responsibilities

• Perform validation of pricing models, including analyzing model suitability and shortcomings, quantifying missing risk, developing alternative models, and making the final judgment on the quality of the model.
• Develop and maintain the internal programming library in C++ or Python, which is used for testing the model implementation, soundness of model methodology, and model performance.
• Write high-quality validation reports, discuss your findings with different senior stakeholders in the bank including front office quants, traders, risk modellers, risk managers, and senior management. Present your reports at the corresponding committees.

Key Requirements

• PhD or MSc degree in quantitative finance, econometrics and STEM (Science, Technology, Engineering, and Mathematics).
• Good knowledge of financial markets products and financial mathematics. You know the theory of stochastic calculus and derivative pricing.
• Practical product and model knowledge in at least one of the following asset classes is a plus: Interest Rate & Inflation, FX, Credit, Equity, Commodities and/or XVA.
• Solid programming experience, preferably in C++ or Python.
• Good English writing skills. You are accurate and skilled at drafting reports.
• Strong verbal communication skills. You present your work to your model validation colleagues and senior stakeholders. You are able to defend your standpoint in plain language.
• Constructive attitude, pro-active team player, self-driven and can work independently on validation projects.

If you are an enthusiastic colleague who enjoys analyzing pricing models, investigating alternative approaches, coding sophisticated models, and writing high-quality validation reports, we encourage you to apply for this opportunity.

If you are interested in the role and would like to discuss the opportunity further, please click apply now or email Hagen at for more information.

Only shortlisted candidates will be responded to, therefore if you do not receive a response within 14 days please accept this as notification that you have not been shortlisted.

Morgan McKinley Pte Ltd, EA License No: 11C5502

Lee Boon Hou (Hagen), Registration No: R1870932