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The Quantitative Model Risk (QMR) team is responsible for the validation of all valuation models used in Financial Markets within SCB, including Counterparty Credit Risk models (CVA) and Initial Margin (IM). Additionally, it provides quantitative advice not only to the entire Risk function, but also a wide range of stakeholders including senior committees within the Bank.
Key Roles and Responsibilities
Review and validation of front office derivative pricing models, focussed on FX models.
Implementation of benchmark models (C++).
Development of alternative models and methodologies in order to assess model risk.
Day to day support of stakeholders in all model related questions.
Liaise with trading, front office quantitative analysts and developers, and market risk and valuation control analysts, to ensure speedy review and validation of new models and methodologies.
Qualifications and Skills
Higher degree (MSc, PhD, DEA) in highly numerical subject such as mathematics or physics. A PhD is preferred. Candidates with educational backgrounds in less technical subjects such as economics, banking or finance will not be considered.
Strong knowledge of mathematics and stochastic calculus.
Sound judgement in assessing the strength and weaknesses of modelling approaches.
Two to six years experience in either a model validation or front office quant role. At least two years experience with FX derivatives
Knowledge of FX products and FX volatility modelling.
Experience of implementing derivative valuation models in C++ in either a Front Office or Model Validation environment.
Knowledge of Financial Mathematics for derivatives pricing, and associated numerical methods, e.g. Monte Carlo, PDEs and numerical integration.
Strong communication skills and ability to work effectively as part of a Global Team. Fluency in written and spoken English.
Strong writing skills with the ability to present conclusions and recommendations from technical projects to a less technical audience.
Ability to liaise effectively with IT professionals, Front Office traders and quants.
How To Apply
You can search and view current opportunities across our organisation and apply immediately by visiting www.standardchartered.com and selecting Careers. To help speed up your application, please note the following:
- You will need to log in (or register if you are visiting our careers site for the first time) before you can apply for a specific role
- Some roles may require you to undertake an online talent assessment in addition to completing the application form (to facilitate this process it is preferable that you provide us with an email address as part of your contact information) - We will ask you about your education, career history and skills and experience, it may be helpful to have this information at hand when completing your application
It usually takes 15 - 20 minutes to complete the application form; you can save your application at any time and return to complete it at your convenience.
The closing date for applications is 31/08/2017. Please note all closing dates are given in Hong Kong time (GMT + 8 hours). We aim to respond to successful applicants within four weeks and will keep a record or your application in our database so that we can contact you when suitable vacancies arise in future.
Diversity and Inclusion
Standard Chartered is committed to diversity and inclusion. We believe that a work environment which embraces diversity will enable us to get the best out of the broadest spectrum of people to sustain strong business performance and competitive advantage. By building an inclusive culture, each employee can develop a sense of belonging, and have the opportunity to maximise their personal potential.