Counterparty Risk Engine Quants (2 hires) recruitment
Global Investment Bank, Singapore
KEY RESPONSIBILITIES:
- Validate pricing methodologies: Implement independent methodologies; Identify products that fail tolerance; Liaise with vendors to identify bugs and resolve
- PFE tests: Implement an independent PFE system; Liaise with PFE testers to identify resolve bugs; Lead Python development of independent CRE engine
- Validate risk factor evolution; CRE factor model with alternative models; Implement independent risk factor evolution model; Develop and run statistical tests for risk factor evolution validation
- Calibration validation: Maintain parameter calibration system; Identify issues and liaise with quant development team to resolve; Implement backtesting methodology
- General: Develop maintain independent CRE validation engine in Python; Provide support to business during testing phase and with quantitative issues; show results in validation reports
KEY SKILLS EXPERIENCE:
- 2 to 6 years’ experience in a Quant Analyst role within a pricing environment
- PhD educated in Quantitative discipline (maths, physics, engineering)
- Excellent Quantitative Analysis skills
- Commodity Derivatives background desirable
- Quick learner; excellent problem solving skills
- Advanced Visual Basic Excel (Classes, etc.) and Python
August 21, 2012
• Tags: Counterparty Risk Engine Quants (2 hires) recruitment, Risk Management careers in the Singapore • Posted in: Financial