Quantitative Analyst – Credit Derivatives (AVP4/VP2)

Group Risk Management – Market Risk Management

Roles and Responsibilities:

Validate pricing models for front-office system implementation.
Coordinate and manage interactions between front end traders, vendors and data management and configuration staff to ensure timely implementation and smooth running of trading systems.
As the resident credit expert, provide quantitative support and independent advice to business units concerning valuation, risk monitoring and model development of credit related product.
Develop and maintain credit risk models.
Assume ownership of CRE add-on computation methodology
Source for market data and develop sound mathematical models for estimating illiquid market quantities (such as cross-asset class correlations and volatilities)

Reporting to:

Requirements:

Five years of relevant working experience in middle office functions in a well-known bank
At least two years of hands-on experience in credit derivatives pricing, modelling and risk managing
Excellent knowledge of banking functions and business
Post graduate degree in quantitative finance or other mathematical fields (such as engineering, computing, physics)
Sound communication and interpersonal skills
Proven ability and initiative to work independently as well as in a team
Ability and aptitude for leading a team
Established industry connections and professional networks
Ability to work under pressure
Mature & pleasant personality

*Only shortlisted candidates will be notified

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