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We have an opportunity for a quantitative analyst to join the Group Model Validation (GMV) team in Singapore to work on validation of quantitative models developed for the Fundamental Review of the Trading Book (FRTB) reporting either to the Head, Market Risk Validation or Head, Counterparty Credit Risk Validation.
Key Roles & Responsibilities:
Critical quantitative review and challenge of FRTB Market Risk models.
Where appropriate, to suggest improvements and / or alternative models / numerical methods.
Preparation of accurate and concise documentation for consumption by Senior Management.
Qualifications & Skills:
Strong quantitative skills: PhD/Masters degree or equivalent in a quantitative discipline.
Knowledge of Financial Mathematics for derivatives pricing and risk, and associated numerical methods, e.g. Monte Carlo, PDE, numerical integration, statistics, VaR, ES.
Understanding of current modelling techniques in Market Risk.
Practical hands-on experience of implementing financial models in either model development or validation environments.
Strong communication skills and ability to work effectively as part of a Global Team.
Ability to liaise effectively with development quants and market risk teams
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