Senior Role - Pricing Model Quant - BFS

The Quantitative Risk Analyst forms part of the Central Quantitative risk analytics function within FRSPL and works with different stakeholders in risk management process.

- Validation of pricing models of derivatives products across all silos.

- Validating risk sensitivities and risk models for capital calculation.

- Bootstrapping of interest rate curve, volatility curves and credit curves.

- Validating pre-trade structured deals from model validation perspective.

- Evaluating, implementing and optimising risk management processes and systems.

- To be actively involved in calculating and resolving the issues related to Value-at-Risk (VAR)/ Expected Tail Loss (ETL) and other risk measures to manage the bank's risk.

- The candidate should display a thorough knowledge of derivative instruments, pricing and valuation as well as risk profiles.

- Model implementations using Monte Carlo simulation, tree method and finite difference method.

- Knowledge of quantitative risk management models, stochastic calculus, statistics and numerical resolution methods.

- Knowledge of MatLab, R, Python, Eviews, C++ etc. will be an added advantage

- A CQF/CFA/FRM qualification would be an advantage.

- Attention to details

- Mathematical competence

- Problem solving

- Drive for results

- Verbal and written communication

- Business insight and risk awareness;

- Research Competence