Quantitative Risk Model Validator
1 week ago
Company Overview: As a premier institution in the banking industry, Kerry Consulting Pte Ltd continues to achieve impressive financial performance and invest in innovation. With a strong focus on recruitment, they are seeking a dynamic and highly capable quantitative risk model validator in Singapore.
Salary: $120,000 - $180,000 per annum, depending on experience.
Job Description: The role involves collaborating with cross-functional teams and working with a wide range of mathematical models across the banking industry. Responsibilities include validating pricing and risk models through independently developed full replication models, which cover areas such as trading, risk management, asset-liability management (ALM), and other functions. You will also coordinate with the front office and risk control teams on results, and produce comprehensive validation reports as well as contributing to bank-wide projects that require quantitative technical expertise.
Required Skills and Qualifications: To be successful in this role, you should have at least 5 years of direct experience in a relevant position as a quantitative analyst or researcher, with a proven track record in quantitative finance, including model validation, pricing, risk models, and/or model development. You should be strategic, driven, agile, and analytical, with the ability to thrive in a fast-paced work environment. A strong understanding of mathematical models and methods, including stochastic calculus, Monte Carlo simulations, and PDE modelling is essential. Proficiency in at least one programming language is required, with experience in C#, C++, and/or Python being a plus. Additionally, you should hold an advanced degree in mathematics, physics, engineering, statistics, data science, quantitative finance, or a related field.
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