Quantitative Risk Analyst | Singapore | South East Asia recruitment
Role:
• Carry out routine model checks as agreed as part of Model Testing programme
• Design spreadsheet tools to facilitate risk data acquisition and model testing
• Perform periodic model reviews in liaison with Market Risk Managers and produce high quality model review reports
• Identify technically robust approaches to assessing the overall VaR modelling approach including strategies to minimise risks not in VaR (RNIVs)
• Produce regular reports that assess the current VaR model implementation
Ideal Candidate:
• Can demonstrate a detailed knowledge of at least two different asset classes (Fixed income, Equities, Commodities, FX or Credit) and essential knowledge of derivatives and their pricing models (Exotics, CDS, Swaption, etc.).
• Has experience of working in an Investment bank or Asset management firm with 2 to 4 years of experience. Preferably in a Market Risk, product control valuation, FO or risk quant, pricing developer but applicants from other areas will be considered
• Understanding of VaR and can demonstrate an understanding of different VaR methodologies.
• Some knowledge of the regulatory environment, particularly FSA , EU/CRD and Basel/BIS
• Strong Microsoft EXCEL skills, familiar with VBA programming (a minimal requirement).
• Experienced user of Bloomberg and Reuters and their tools.
• Experience of other computer languages (Java, C++, etc) Prefered
Please send all enquiries to qrfsing@selbyjennings.com or call +65 6808 5600