AM, Market Risk Management - Analytics

Responsibilities

• Validate pricing and risk models with independently constructed models, with initial focus on Potential future exposure (PFE) and Counter Party Credit Risk models.
• Liaise with front office and risk on results and produce detailed validation reports.
• Take ownership of some of the team’s internal initiatives and projects. Contribute to the various bank-wide projects that require quantitative technical expertise.
• Around 3 years of experience in a relevant function as quantitative analyst or researcher.
• Experience in quantitative finance, especially validating pricing and risk models and/or developing models is essential.
• Advanced degree in technical disciplines such as engineering, mathematics or quantitative finance, etc.
• Analytical skills and knowledge of mathematical models and methods in stochastic calculus, Monte Carlo simulation and PDE modelling.
• Experience with at least one programming language is essential. In particular, C#, C++, Python are a plus.
• Experience with Counter Party Credit Risk or Potential future exposure (PFE) are a plus.

Qualifications

• Strong communication skills; candidate must be able to communicate complex ideas and concepts into simple and easy to understand terms.
• Ability to relate to people and build rapport to gain the respect of subordinates and peers.
• Good interpersonal skills and ability to build and maintain professional relationships.