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Model Validation Quantitative Analyst, (IR/FX/INF/, Singapore
- SG - Singapore
- Highly Competitive
- Full-Time Permanent
- Financial Services - Research
- 04-10-08
Job Description
A top tier global investment bank seeks experienced Model Validation Quantitative Analyst (IR/FX/INF/HYB) for senior role.
The successful candidate will be integrated in to the Global Analytics team in a senior position in Market Risk. The team has general responsibility for testing and approving derivatives models across IR, FX, inflation, hybrid and credit asset classes used at products and markets. As an independent source of technical expertise, the team specializes in all aspects of quantitative analysis with particular emphasis on validation, independent development and implementation of mathematical models for pricing and risk management of complex exotic derivatives. The successful candidate would be working closely with the front office quant group, traders and structurers across all asset classes.
Overall purpose of role
· Experienced quantitative analyst performing the core validation role in IR/FX/INF/HYB derivatives
Main responsibilities
· To test and review new and existing models for correct implementation
· To examine suitability of the models for use in different contexts
· To write model validation documentation
· To develop Global Analytics’ numerical tool kit
Qualifications
· PhD in Mathematics/Physics/Engineering, ideally from a top three institution
· Quantitative Finance experience- Solid experience working as a quant in IR/FX/INF/HYB in either front office or validation role at major banks. End to end experience from development to validation is a must.
· In depth mathematical knowledge- Calculus, Differential Equations, Stochastic calculus, Probability and statistics, Numerical methods, simulation, algorithms and optimization.
· Solid computing credentials- Strong C++ numerical programming skill and coding experience
· Standard MS Windows applications including VBA
· Excellent problem solver and self starter
· Well focused and dedicated to work long hours, if necessary.
· Able to communicate with other business areas
· Willing to mentor juniors
Please apply with CV to jobs@selbyjennings.com or quantexotic@selbyjennings.com
www.selbyjennings.com
The successful candidate will be integrated in to the Global Analytics team in a senior position in Market Risk. The team has general responsibility for testing and approving derivatives models across IR, FX, inflation, hybrid and credit asset classes used at products and markets. As an independent source of technical expertise, the team specializes in all aspects of quantitative analysis with particular emphasis on validation, independent development and implementation of mathematical models for pricing and risk management of complex exotic derivatives. The successful candidate would be working closely with the front office quant group, traders and structurers across all asset classes.
Overall purpose of role
· Experienced quantitative analyst performing the core validation role in IR/FX/INF/HYB derivatives
Main responsibilities
· To test and review new and existing models for correct implementation
· To examine suitability of the models for use in different contexts
· To write model validation documentation
· To develop Global Analytics’ numerical tool kit
Qualifications
· PhD in Mathematics/Physics/Engineering, ideally from a top three institution
· Quantitative Finance experience- Solid experience working as a quant in IR/FX/INF/HYB in either front office or validation role at major banks. End to end experience from development to validation is a must.
· In depth mathematical knowledge- Calculus, Differential Equations, Stochastic calculus, Probability and statistics, Numerical methods, simulation, algorithms and optimization.
· Solid computing credentials- Strong C++ numerical programming skill and coding experience
· Standard MS Windows applications including VBA
· Excellent problem solver and self starter
· Well focused and dedicated to work long hours, if necessary.
· Able to communicate with other business areas
· Willing to mentor juniors
Please apply with CV to jobs@selbyjennings.com or quantexotic@selbyjennings.com
www.selbyjennings.com
- The Team
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