Senior Model Validation Manager

Qualification, Experience & Skills -

- Good understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference)

- Strong mathematical skills

- Competency in one or more major programming languages (C++, python) required

- Knowledge of elementary algorithms and data structures

- Attention to detail

- Good written communication in English

- In particular, candidate should have basic understanding of derivative modelling/validation in at least one of the below asset class:

a. Interest Rate e.g. Libor Market Model, HJM, Models of the short-rate

b. Equity e.g. Pricing of Exotic Payoffs (like Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston etc.)

c. Credit e.g. Pricing of Credit derivatives, CVA calculation

d. FX e.g. Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

e. Risk Model Validation e.g. Var/ Counterparty Exposure models