Key Responsibility Areas :

- Develop models, ensuring theoretical soundness by employing advanced mathematical and statistical techniques

- Demonstrate independence in testing design and execution, results interpretation and presentation, and production of robust documentation

- Collaborate with colleagues across the world, and will regularly engage with partners such as business, senior management and regulators

- Play a role in the documentation and review of risk capture, sensitivities and data assets used in model

- Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture

- Ensure that models are adequately documented for both internal and external (e.g. regulatory) purposes

- Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications

- Collaborate with Quant Strats internal and external teams on the development, implementation, and review of projections models

Mandates:

To excel in this role, you should possess:

Understanding of financial mathematics/statistics and application to risk modeling

Degree in mathematics, physics, econometrics, statistics or engineering is preferred

Professional qualification e.g. CFA, FRM, PRIMA would be an advantage

Good understanding of financial and derivative products, and risk modeling. Strong foundation in Probability and Statistics

Outstanding analytical and problem solving skills, and knowledge of risk management concepts and techniques such as VaR, Stressed VaR, regression and time series modeling

Have experience/knowledge of market risk RWA modeling for example VaR/SVaR, CVA, etc.

Proficiency in programming language such as R, Python, C++, Matlab

Good MS Excel/ Access/SQL and VBA knowledge

Strong presentation skills; able to document and communicate complex topics to a diverse range of audiences

Willingness to question and challenge the status quo and ability to provide alternative approaches

Dedication to fostering an inclusive culture and value diverse perspectives

Qualification Required

Post-Graduate degree in Finance/Statistics/Economics/Sciences/Engineering/Mathematics

MBA or CA, FRM, CFA

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