- Leadership position
- Forward thinking, innovative bank
- Organisation is known to hire top tier candidates
Our client is an impressive, influential bank based in Singapore which is looking to recruit and experienced SVP / VP Risk Analytics, Margin & Liquidity Risk to join their growing Risk Management Group. The Risk Management Group is responsible for the development and maintenance of risk management and internal control frameworks. The division provides independent review and challenge to the business to ensure that appropriate balance is considered in risk/return decisions. This is a leadership role where the majority of the team’s resources are spent on pricing model validation which is used by derivative traders for daily P&L and hedging. Recent experience looking at exotic derivatives is required.
- Conduct pricing model validation testing and analysis
- Assess the appropriateness of model testing and clarity of all conclusions including the identification of potential model issues and limitations
- Responsible for performing and documenting quantitative review and challenge on pricing models
- Develop Asset/Liability models
- Communicating key findings to market risk managers, product controllers, auditors and regulators
- Team management
- MSc or PhD in a quantitative discipline
- 8+ years working experience in a similar quantitative role with deep technical knowledge on exotic derivative models
- Proven ability to understand a variety of modelling approaches and their strengths & weaknesses as well as a proven track record of independently writing technical validation reports.
Proficiency using C++/C# and experience in theoretically deriving, implementing, testing and analysing exotic derivative models
- Good Knowledge on Asset/Liability model development
- Strong rational & logical thought process with an attention to details
- Excellent written and interpersonal communication skills
EA Licence No.: 15S7496
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