Quant Analyst, Model Validation, Sell-side, Hong Kong
Vacancy position: Quantitative Analyst within Model Validation and Model Risk for Equity Derivatives, Hong Kong
Role desciption: 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. The primary responsibilities include:
* Conduct model validation of relevant instruments as per policy.
* Liaise with the Front Office 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 the team's Market Risk policies and risk management methodologies for existing and new products.
The Ideal Candidate will possess the following:
* 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/her 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 GMR management.
Should you be interested in applying for the role then please upload your CV online and we'll be in touch.
Huxley Associates, a trading division of SThree Pte Limited (Registration Number: 200720126E | Licence Number 09C5506)
To find out more about Huxley Associates please visit www.huxley.com
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