Quantitative Counterparty Risk Engine Model Validation – (2 Years Contract) recruitment

Main Responsibilities:-
1. Validate Pricing Methodologies
o Implement independent methodology using internal/external system or
self-build using VB Excel and Python

2. Run tests
o Implement independent Potential Future Exposure system
o Work with CRE PFE testers to identify and resolve bugs
o Lead Python development of independent CRE engine CREePy

3. Validate Risk Factor Evolution
o Compare CRE risk factor model with alternative methodologies
o Implement independent risk factor evolution model
o Develop and run statistical tests for risk factor evolution validation

4. Calibration Validation
o Maintain independent parameter calibration system
o Identify issues and liaise with Quantitative Development team to resolve
o Implement back testing methodology

General Roles (all)
o Work with team members to develop and maintain independent CRE
validation engine in Python(CREePy)
o Provide support during business end to end testing phase
o Provide support to business on quantitative issues

Requirements:-
• Experienced in Banking as Quantitative Analyst with at least 2 years
experience in pricing environment
• Excellent Quantitative Analysis skills
• Background in Commodities Derivatives highly desirable
• Customer and results focussed
• Quick learner with excellent proven problem solving skills
• Ability to operate independently
• Understands quality, standards, due process and ethical behaviour, team
player
• Ph.D. in Quantitative discipline (maths, physics, engineering), strong in VBA

This is an excellent opportunity with an outstanding organisation, which has strong balance sheet and substantial business focused in Asia. The selected individual will be involved in many exciting on-going and new projects. There is strong possibility that the role will be converted to permanent. Please send your details in strict confidence to Katherine.Ho@profusiongroup.com if you are keen to explore the opportunity. Only short-listed candidates will be notified.

Licensee Name - Profusion Group Pte Ltd
Licence No - 11S3600