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To conduct pre and post-implementation of derivatives and market risk models, in line with best practices, used in the Bank for pricing and risk management, including :
q Assessing model inputs, model assumptions, market conventions, model theories, Model
Â Â Â limitations and mitigating factors.
q Developing independent models for FX, IR, Credit, Equity and Commodity derivatives.
q Developing automation tools for model validation activities.
q Developing appropriate controls to mitigate for model risk and market uncertainty.
â€¢ To identify sources of model risk by thoroughly and comprehensively review all model
Â Â components and developmental evidence.
â€¢ To engage with stakeholders (Market Risk,Front Office Quant / Structuring / Trading Â Â Teams) effectively and maintain productive working relationships.
â€¢ To provide healthy challenge to model developers and ensure models Â approved are of highest standard.
â€¢ To keep abreast with market and regulatory changes. To keep abreast with Regulatorsâ€™ (BNM, MAS, HKMA) requirements and ensure adherence.
â€¢ To clearly and concisely communicate the model review results to the rest of the team, other functions and senior management.
â€¢ To present and explain the validation results to the management committee for endorsement and approval.
â€¢ Take ownership of some of the teamâ€™s internal initiatives
â€¢ Advanced Degree (Masters or PhD) in Quantitative Discipline (Physics, Statistics, Mathematics,Finance, Engineering etc.) from recognized universities.
â€¢ Relevant working experience in developing or validating quantitative pricing and risk models in traded market risk. Other strong analytical and quantitative analysis experience will be considered.
â€¢ The candidate must be familiar with stochastic modelling techniques. Analytical skills, knowledge of mathematical models, stochastic calculus, Monte Carlo simulation and PDE modelling are required. Candidates with IBOR Transition /OIS curve construction experience will be advantageous.
â€¢ Good understanding of the trading & treasury business (across all asset classes) and models; and good understanding of the regulatory framework.
â€¢ Self-motivated person with a high level of drive,dedication and desire to excel consistently.
â€¢ Excellent verbal and written communication and interpersonal skills.
â€¢ Meticulous,organised and self-assured with ability to interact well with various working levels.
â€¢ Advanced programming skills in C++,Mathlab, VBA, R, Pythonetc.
ONLY SHORTLISTED CANDIDATES WILL BE NOTIFIED.
Internal Number: 11105888
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