Model Validation Quant recruitment
The Quant will be required validate complex quantitative pricing models to ensure performance. You will work to enhance risk measurement systems, including integration of pricing functions into risk measurement systems. You will develop bespoke models for Market Risk (valuation, risk sensitivities, VaR) or Credit Risk (potential credit risk exposure, credit valuation adjustment), develop Markets Risk measurement systems and associated processes. You will lead the team for a single asset class in the validation of front office derivative pricing models relating to risk and PL computation and provide guidance on model related issues.
Requirements:
- At least 5 yrs of experience in developing or validating derivative pricing models
- Solid knowledge of statistics, PDE’s and numerical methods
- Strong computational finance skills – (C/C++,VBA) in Windows Unix
- Able to communicate market risk concepts to front-office risk management in clear language
- Minimum of Masters educated in a quantitative field (Math, Physics, Engineering Computational Finance etc)
For more information, please contact Kanchan Angural at +65 6557 4170 or email resume to singapore@alsrecruit.com.