Snr Interest Rate Quant Analyst recruitment
Global Investment Bank, Singapore
Risk Management/Model Validation
KEY RESPONSIBILITIES:
- Validate pricing, market risk management, credit risk and ALM systems in the Bank
- Set model reserves and ensure that systems settings are in line with market convention
- Counterparty credit risk exposure computation
- Validate models used by the bank for pricing and risk management
- Develop alternative reserve models for valuation purposes
- Provide CRE computations to the front office
KEY SKILLS EXPERIENCE:
- 3-5yrs developing or validating derivative pricing models (ideally Interest Rate products)
- Market risk management and measurement techniques
- Strong knowledge of stochastic calculus, Monte Carlo simulations and PDE modelling
- Strong mathematical, analytical, problem solving learning skills
- PhD or MSc educated in a quantitative field (Math, Physics, Engineering, Comp Finance).
- Good knowledge of trading credit risk concepts is desirable but no essential
- Excellent programming skills in C++, Excel VBA, Python
July 11, 2012
• Tags: Risk Management careers in the Singapore, Snr Interest Rate Quant Analyst recruitment • Posted in: Financial