Equity Model Validation Quant Analyst, Hong Kong
Leading Global Investment Bank, Hong Kong
KEY RESPONSIBILITIES:
- Conduct model validation of relevant instruments
- Liaise with quant developers to facilitate speedy approval of new models
- Assist market risk on trade approvals and finance on price verification methodologies
- Understand regulatory requirements and market environment / practices that will impact assigned books/products
- Comply with group market risk policies and risk management methodologies for new existing products
KEY SKILLS EXPERIENCE:
- 3-5yrs developing and/or validating derivative pricing models (Front Office or Risk Management)
- Exposure to Equity Derivatives and Structured Products is advantageous
- PhD or Masters educated in Mathematics, Physics, Engineering or Quantitative Finance
- Excellent analytical skills knowledge of stochastic calculus, PDE modelling Monte Carlo
- Able to assess the strengths and weaknesses of modelling approaches
- Solid programming skills in C++, C#, Python or similar; VBA R advantageous
- Able to communicate issues to front-office market risk
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