AddressRole Profile
- Review, verify and validate risk models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring as well as contribute in the firm-wide Model Risk and control assessment.
- Be expected to demonstrate independence in planning and stakeholder engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.
Criteria:
1. Must have at least a Postgraduate degree in quantitative discipline
2. Solid understanding of Mathematical Models, Probability: Stochastic Processes, Simulations, Monte Carlo methods etc., Statistics: Parametric and non-Parametric Statistics, Statistical Tests, Bootstrap, Time Series Modelling etc.
3. Programming capability in R, Matlab, SAS, C++, VBA, SQL will be highly appreciated.
4. Understanding of investment banking products: Derivatives Products traded on exchanges and OTC
5. Solid understanding of arbitrage-free pricing (Black-Scholes framework etc.), Capital Asset Pricing Model and other theoretical aspects of Finance
6. Strong understanding of regulatory landscape( Basel 2-3, CRD IV, SR-11 etc.)
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