Description
Job Description:Review and validate derivative models, including FX, interest rates, fixed income, equity derivatives, credit, etc. May also review traded risk models for Global Banking and Markets (GBM), including Central Clearing margin models and counterparty risk models such as credit risk exposure calculation, collateral models, CVA and CVA VaR, Credit add-on models, etc.
- Review and provide quantitative opinions on the models including theoretical soundness, limitations, consistency, stability, and calibration. Model risk assessment is the focus of the model review group.
- Justify the model assumptions/constraints and assess their impacts to the valuation and risk by performing sensitivity analysis and stress testing on models as required.
Validate the implementation of the model in library, risk engines, or trading systems, and writing appraisal reports. - Work with senior members of the model review group to develop independent quantitative library for model risk assessment and model implementation validation purposes.
- Perform quantitative/mathematical/statistical assessment procedures necessary to validate model parameters and performance.
- Keep up to date with academic, technical and industry developments in the field of derivatives model design, development, validation and stress testing, and more general regulatory requirements, in order to assess the compliance and effectiveness of the models.
- Advise on the most appropriate quantitative estimation, validation and stress testing methodologies to use;
Qualifications
- At least 5 year experience in quantitative fields, or 3+ year experience for exceptional member with Ph.D;
- Solid understanding of derivative products and excellent quantitative skills are required. Strong background in financial mathematics (derivatives models, probability theory, mathematics, etc.) is a must;
- Broad background and deep understanding of one or more derivative asset classes including credit derivatives, emerging market derivatives, structured fund derivatives, MBS, BSM, ALM, interest rate derivatives, equity derivatives, metal derivatives, etc., asset management, hedge fund administration and valuation, and traded risk models, methodologies, and processes;
- Excellent communication and written skills. Must be able to explain complex and/or technical subjects clearly, accurately and concisely. Need daily interaction with senior management, business heads, traders, desk quants, model review members, market risk and credit risk managers, product controller
- Must have solid C/C++, VBA, or Java programming skills. Knowledge on Matlab, R, SAS, S-Plus etc. is plus;
- PhD in a quantitative or computational filed (Finance, Math, Physics, Financial Engineering, Computer Science, etc.)