Associate - Model Validation - Algo/FX - Financial Services

Roles & Responsibilities :

- Ensure proprietary algorithmic indices are implemented as per rulebook specification - the indices take long/short leveraged positions in market instruments (e.g. IR swaps in multiple currencies) based on econometric signals and a target volatility level for the index. Implementation is done in proprietary scripting language/excel spreadsheets and signal generation/ achievement of target volatility levels are also in scope of validation.

- Approve trading of swaps and vanilla options on the indices

- Preparation of documentation for the review of index implementation

- In addition, role would also involve providing validation support for IR/FX models from time to time thereby providing an opportunity to gradually build skills in derivative pricing model validation.

Key Skills :

Mandatory Qualification, Experience & Skills :

- Attention to detail

- Competency in one or more major programming languages (C++, python) required (at the very least exposure to procedural programming)

- Good written communication in English

- Familiarity with basic financial products like swaps, vanilla options and their greeks

Preferred skills :

- Basic understanding of stochastic calculus, Black Scholes Pde derivation

- Ambition to develop pricing model validation skills