Senior Associate - Pricing Model Development - Derivatives Modelling

Work with Market Risk Modelling team in delivering various analytical and advisory projects

- Developing and validating Valuation/Pricing models for various asset classes

- Perform model testing - performance, stability; assess the model's functional soundness

- Also, work on market risk, liquidity risk and ALM models

- Understand latest regulatory guidelines and advise clients on their implementation

- Make presentations to client stakeholders and internal management

Required Background

- 1-5 years (across levels) of relevant pricing/ valuation models

- PhD or Post-Graduate Degree in a quantitative discipline

- Strong preference for candidates with equity derivatives pricing background

- Strong knowledge of stochastic calculus, numerical methods, finite difference methods

- Having worked on various pricing models using SABR, local volatility, Heston, etc.

- Understanding of approaches to calculate market risk for various traded instruments

- Understanding of broad risk regulatory landscape - development & validation

- Strong problem solving and technical skills

- Programming skills: C++ or Java/ any object oriented language, R, Matlab, Python

- Strong verbal and written communication skills

Certifications such as CQF, FRM and CFA will be a plus