Senior Quantitative Valuations Opportunity, Model & Methodology, FICC Coverage
The Valuation Control Methodology Group formulates model reserve and valuation adjustment policies, gives guidance on price testing methodologies and their implementation, assists on model calibration and model appropriateness across all asset classes.
The role will also involve interaction with Front Office, the Modeling Analytics Group, Group Market Risk and Valuation Control.
Key Responsibilities:
- To review model validation memos and formulate and implement model reserve methodologies to address any model limitations that are highlighted in theses memos
- To work with the individual Valuation Control asset groups to determine price testing methodologies
- Responsible for Rates, Credit and FX issues
- Manage and train other members of staff
- Ad hoc projects
Qualifications Skills
- Master in Financial Mathematics or a PhD in a quantitative area
- Strong analytical and quantitative skills
- Proven track record within IRD or Credit model and methodology area/ process
- Strong experience financial modeling, interest rate derivatives and credit risk modeling
- Strong IT and programming skills
- Advanced Excel skills are essential and experience with a functional programming language would be an advantage
- Experience of Credit structured products is desirable, but candidates with experience of structured products in other asset classes will be considered
- Excellent interpersonal skills, with the ability to communicate at all levels both written and verbally
- Team player with strong ability to work independently and influence others
For further information please contact ebennett@astoncarter.com +65 6434 8452
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