Quantitative risk management - Manager
- Recruiter
- Morgan Mckinley Singapore
- Location
- Singapore
- Salary
- Competitive
- Posted
- 14 Oct 2018
- Closes
- 18 Oct 2018
- Ref
- 4593916
- Sector
- Accounting - Public practice
- Contract type
- Permanent
- Hours
- Full time
- Experience level
- Manager
My client is a leading global bank with a strong presence within the region. They are looking for a quantitative professional to be part of their valuation control team.
Key Responsibilities
Requirements
If you are qualified and interested in this role, please apply with your updated CV in WORD format below.
Morgan McKinley Pte Ltd
EA License No: 11C5502
Registration No: R1659128
License Name: Phea Dan Shuo, Bella
Key Responsibilities
- Design implement, and report model associated fair valuation adjustments
- Design and implement the IT infrastructure and policy framework to optimise the model related fair and prudent valuation adjustment processes
- Design implement, and document model connected fair valuation adjustments and prudent valuation adjustments
- Document the related IT policies and procedures
- Streamlining of calculation process and reduce code maintenance
- Solid experience of VC-methodology calculation library
- Work with the individual valuation control asset groups to determine price testing methodologies
- Participate in ad hoc projects
Requirements
- Bachelor of Computer Science or Computer Engineering / Master in Financial Mathematics or in a quantitative area
- Experience of modelling in one or more asset classes (i.e. FX, equity, commodity, IR, credit or XVA)
- Strong analytical and quantitative skills (Stochastic Calculus, PDE, Monte Carlo simulation)
- Development knowledge or experience using a functional language (such as Haskell, Scala, Clojure, F#, OCaml etc) is advantageous
- Programming knowledge with C++/Java/Python will be plus points
- Experience of valuation control or model validation is desirable
- Excellent interpersonal skills and good ability to communicate at all levels both written and verbally
If you are qualified and interested in this role, please apply with your updated CV in WORD format below.
Morgan McKinley Pte Ltd
EA License No: 11C5502
Registration No: R1659128
License Name: Phea Dan Shuo, Bella
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