New 1 Year Contract Model Validation Manager

1 week ago


Singapore Ambition Full time

Our client is an established foreign bank.

Job Duties:

- Responsible for the validation of internally developed derivative valuation models in light of Benchmark Transition and add value in terms of model risk measures and improved valuations consistent with Global Majors.
- Ensure quality decisions are made in relation to Model Risk in the most cost effective manner.
- Formulate an opinion on Model Risk and review Model Risk provisioning methodologies
- To ensure all activities conducted comply with company group governance requirements, polices, processes and standards and with legal and regulatory requirements.
- To establish and maintain productive working relationships with front office quantitative groups and IT support groups to complete the validations and ensure timely delivery to market with appropriate and diligent validation.
- Other ad hoc duties

Job Requirements:

- Proven experience in a previous Quant role in model validation/derivatives valuations/quantitative risk modelling function
- A solid understanding of derivative valuations and XVAs (CVA, FVA etc.)
- Excellent programming skills in C++ and VBA
- Strong mathematical skills; A background in a numerate discipline (e.g. Mathematics, Physics, Engineering, Computational Finance) is highly desirable
- Strong analytical and problem solving skills, supported by clear and confident communication skills
- Good knowledge of market risk management and measurement techniques

EA Registration Number: R1104661
Data provided is for recruitment purposes only
Business Registration Number: 200611680D. Licence Number: 10C5117


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