Senior Specialist, Market Risk Quant Model

1 week ago

Singapore The Edge Asia Full time

A reputable Asian Bank with significant business footprints in Singapore and Asia Pacific is currently looking for a Senior Specialist, Market Risk Model Validation in their Singapore office. This is a group function, fantastic opportunity to work with a highly experienced Risk Management banking leader.

Recruiter Licence: R1106582 EA Licence: 16S8131

**Some of the key responsibilities will include**:

- To conduct pre and post-implementation validation of derivatives and market risk models, in line with best practices, used in the Bank for pricing and risk management, including:

- (i) assessing model inputs, model assumptions, market conventions, model theories, model limitations and mitigating factors,
- (ii) developing independent models for FX, IR, Credit, Equity and Commodity derivatives,
- (iii) developing automation tools for model validation activities,
- (iv) developing appropriate controls to mitigate for model risk and market uncertainty
- Identify sources of model risk by thoroughly and comprehensively review all model components and developmental evidence
- Works closely with stakeholders (Market Risk, Front Office Quant / Structuring / Trading Teams) effectively and maintain productive working relationships
- Challenge and reason model developers and ensure models approved are of highest standard
- Keep abreast with market and regulatory changes. To be aware of Regulators’ (BNM, MAS, HKMA) requirements and ensure adherence
- To communicate the model review results clearly and concisely to the rest of the team, other functions and senior management

**To be eligible for this role you will require**:

- Advanced Degree (Masters or PhD) in Quantitative Discipline (Physics, Statistics, Mathematics, Finance, Engineering etc.) from recognized universities
- At least 5 years’ 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
- Good understanding of the trading & treasury business (across all asset classes) and models; and good understanding of the regulatory framework
- Proficient in C++, Mathlab, VBA, R, Python etc
- Meticulous, organised and self-assured with ability to interact well with various working level

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