Equity Derivative Quantitative Analyst

Key hires in model development, model validation and quantitative risk will be made this year at Analyst and AVP grade (3-5years)

The role focuses on reviewing derivative pricing models used by front office relating to risk and PL computation and providing assistance on model related issues.

Conduct model validation of relevant instruments as per policy.

Liaise with Financial Markets quantitative developers to facilitate speedy approval of new models.

Assist market risk managers on trade approvals and finance on price verification methodologies.

Understand local and global regulatory requirements and be aware of market environment/practices that will impact assigned books/products.

Comply with Group Market Risk policies and risk management methodologies for existing and new products

 

You will most likely be;

Educated to at least an MSc in mathematics, physics, engineering or quantitative finance. PhD is preferred.

Possess excellent analytical skills and knowledge of stochastic calculus, Monte Carlo simulations and PDE modelling.

Able to forge a good working relationship with his peers in the UK and Singapore. 
 

The holder of the role must also have:

Sound judgement in assessing the strengths and weaknesses of modelling approaches.

Very strong programming skills, particularly in C++.

Significant previous experience developing or validating derivative pricing models.

Good relational skills to communicate issues to the front-office and management

 

Please do contact me for more information on this bank and the division

Kate.harper@cpnnectedgroup.com

+852 3972 5873

November 8, 2013 • Tags:  • Posted in: Financial

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