Director – Pricing Model Validation

Key Responsibilities:

• Conduct pricing model validation of derivatives models to identify and document potential limitations
• Develop and maintain effective working relationships with the broader Risk Management teams and other business stakeholders
• Assist in ad-hoc model development/ validation projects as directed by the Head of Department

Key Requirements:

• Advanced degree (Masters or PhD) in a quantitative discipline (Physics, Mathematics, Statistics, etc.)
• At least 10 years of relevant modelling experience within the Banking industry; ideally in a derivatives pricing model validation capacity
• Strong programming skills in C++/C#/Python/ Matlab
• Must have exposure in interacting with Regional Regulators (MAS or HKMA in particular)
• Excellent verbal and written communication skills in English