Senior Quantitative Researcher (Model Validation) recruitment
Working as part of an international Quant team, the role will be heavily involving in improving the Variable Annuity Risk Management framework, primarily through model validation and quantitative development. Much of the firm’s portfolio is hedged using long dated fixed income exotics products.
Key responsibilities:
- Develop benchmark models to validate implemented models and/or functionalities in the risk management systems and prepare technical documentation of model validation
- Identify potential improvements to the calibration and estimation methodologies that generate the input parameters and assumptions quality used in the models and quantify financial impact by backtesting
- Contribute to extending/enhancing/fine-tuning the in-house quantitative software library
Please note the role does not require Japanese and the team is very global in nature and composition.
Required skills
- MSc/PHd in mathematics, quantitative finance, computational finance, econometrics, physics, engineering or other quantitative discipline
- Exceptionally strong Excel VBA and C++ programming skills
- Excellent analytical skills and knowledge of probability theory and Monte Carlo Simulations
Preferred skills
- Developing or validating in-house and/or 3rd party derivative pricing models in IR, EQ and FX
Personal Attributes
- The role would suit a highly quantitative person who maintains a strong interested in cutting edge quantitative research
March 15, 2011
• Tags: Insurance careers in the Japan, Senior Quantitative Researcher (Model Validation) recruitment • Posted in: Financial