Commodities - Model Validations

  • Competitive Salary
  • Singapore
  • Permanent, Full time
  • Argyll Scott Singapore Pte Ltd , EA Licence No: 11C3721
  • 15 Sep 16

Independently implementing pricing methodologies / payoffs in a managed C++ library

Our clients are looking for a strong Model Validators for Commodities Derivatives. You will be responsible for developing benchmark models in C++, independent review and analysis of pricing models used for valuation and risk across the bank

Key Responsibilities

  • Reviewing and analysing the mathematical models used, their implementation methods, the products (payoffs) they are used for across multiple asset classes and the associated risks that are inherent with these products
  • Evaluate model assumptions and methodology to ensure it is aligned to its theoretical basis and functioning correctly
  • Independently implementing pricing methodologies / payoffs in a managed C++ library
  • Communicating the results of the review to all key model stakeholders including Market Risk Methodology, Market Risk Managers, Front Office quant developers etc.
  • Carrying out in depth discussions on identified issues and potential improvements
  • Being actively engaged in the ongoing review of model performance and applicability as well as the validation and review of model changes on an ongoing basis

Key Requirements

  • Qualified to post-graduate level (PhD beneficial), in Mathematics, Financial Mathematics, Physics or Statistics (or equivalent qualification / experience)
  • 4-6 years' experience in Model Validation, Desk Quant or relevant hand on experience developing pricing models, with 2 years dealing with Commodity Derivatives
  • Strong coding ability in C++ and experience implementing models are essential
  • Solid product knowledge in commodities and derivatives
  • Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods and Numerical Algorithms
  • Ability to work independent in a fast paced, high pressure environment and confident enough to face off with traders to management risk
  • Excellent communication skills - both written and oral

If you have solid hands on experience with commodities pricing models, please send your interest to Noel at NHuang@argyllscott.com (EA Licence No. R1330171)

Licence: Argyll Scott Singapore Pte Ltd (16S8105)