AVP/VP, Market Risk Model Validation & Analytics

Description

As a market leader within the banking industry, this premier institution continues to record impressive financial performance and invest in innovation. It is seeking to recruit a dynamic and highly capable AVP/VP, Model Validation & Analytics (Market Risk) in Singapore.

Responsibilities

You will collaborate with cross-functional teams and work with a wide variety of mathematical models across the banking industry, covering areas such as trading, risk management, asset-liability management (ALM), and other functions. You are required to validate pricing and risk models through independently developed full replication models, which include derivative pricing models and counterparty credit risk exposure models. The long-term focus will be on derivative pricing. You will coordinate with the front office and risk control teams on results, and produce comprehensive validation reports as well as contributing to the various bank wide projects that require quantitative technical expertise.

Requirements
You have at least 5 years of direct experience in a relevant role as a quantitative analyst or researcher, with a proven track record in quantitative finance, including model validation, pricing, risk models, and/or model development. You are strategic, driven, agile, and analytical, with the ability to thrive in a fast-paced work environment. You possess a strong understanding of mathematical models and methods, including stochastic calculus, Monte Carlo simulations, and PDE modelling. Proficiency in at least one programming language is essential, with experience in C#, C++, and/or Python being a plus. You hold an advanced degree in mathematics, physics, engineering, statistics, data science, quantitative finance, or a related field.

To apply
Please submit your resume to Er Hann Ooi at eh@kerryconsulting.com, quoting the job title and reference number EH32908. Due to high volume of responses, we regret that only shortlisted candidates are notified.

License: 16S8060
Reg No: R24123905