Quantitative Analyst
1 week ago
Why this role?
This is an exciting opportunity for a skilled quantitative analyst to join our team in Market Risk Management. As a key member of our team, you will be responsible for validating pricing and risk models, including derivative pricing models and counterparty credit risk exposure models. You will work closely with front office and risk control teams to ensure accurate results and produce detailed validation reports.
Key responsibilities:
- Validate pricing and risk models using independently built full replication models.
- Liaise with front office and risk control teams on results and produce detailed validation reports.
- Take ownership of internal initiatives and projects, and contribute to bank-wide projects requiring quantitative technical expertise.
Requirements:
- At least 5 years of experience in a relevant function as a quantitative analyst or researcher.
- Experience in quantitative finance, including validation, pricing, and risk models, and/or model development.
- Advanced degree in a STEM subject, such as mathematics, physics, engineering, statistics, data science, or quantitative finance.
- Analytical skills and knowledge of mathematical models and methods in stochastic calculus, Monte Carlo simulation, and PDE modeling.
- Experience with at least one programming language, such as C#, C++, or Python.
- Ability to work independently and carry out all project aspects, including modeling, coding, documentation, and stakeholder management.
- Strong communication skills to communicate complex ideas and concepts in simple terms.
About us:
OCBC Bank is Singapore's longest established bank, with a history dating back to 1932. We are committed to helping people and businesses achieve their goals through innovative financial solutions and services. Our team is passionate about delivering exceptional customer experiences and driving business growth through technology and creativity.
What we offer:
- Competitive base salary.
- A suite of holistic, flexible benefits to suit every lifestyle.
- Community initiatives.
- Industry-leading learning and professional development opportunities.
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