Quantitative Market Risk Manager (AVP/VP)

  • Negotiable
  • Singapore
  • Permanent, Full time
  • Robert Walters (Singapore) Pte Ltd , EA Licence No: 03C5451
  • 27 Sep 16

A leading financial institution is seeking a Quantitative Market Risk Manager (AVP/VP) for its Singapore-based opportunity. This exciting role will give the successful candidate the opportunity to gain international exposure in a leading bank, and to be part of a highly regarded team that drives the bank's capabilities in quantitative risk.

About the Quantitative Market Risk Manager (AVP/VP) role:

Due to business needs, this international bank is hiring a Quantitative Market Risk Manager (AVP / VP) to independently validate the bank's Interest Rates Derivatives models.

This is a dynamic role within a well-regarded quantitative team that prides itself on a track record of delivery.

Key responsibilities:

  • Conduct validation and review of quantitative Interest Rates Derivatives models
  • Provide advisory and recommendations on improvements and alternative models
  • Engage with various stakeholders (including traders, front office quants, market risk modellers and audit) on quantitative issues, and communicate issues identified together with corrective actions
  • Maintain documentation required for validation and approval by model risk governance committees and external regulators
  • Proactively contribute to bankwide efforts to improve risk modelling capabilities to add value and develop a best in class modelling framework
  • Analysis and monitoring of P&L and market risk exposures for the Interest Rate Derivatives portfolio in Asia
  • Monitor and measure positions against the bank's limits
  • Build expertise on local regulations, risk methodologies and policies and industry developments in financial services
  • Establish validation schedule based on business and regulatory needs

Tha ideal Quantitative Market Risk Manager (AVP/VP) will have four to eight years' experience in either a Front Office Quantitative or Market Risk Model Validation role.

Key requirements:

  • Degree in a quantitative subject e.g. Physics or Mathematics; Masters / PhD will be preferred
  • Prior experience with Interest Rates Derivatives models is ideal
  • Proficiency in Excel, VBA
  • Excellent communicator with an analytical and challenging mindset
  • Ability to work independently and engage with various stakeholders including traders, quantitative teams, etc.

This is a leading global firm with an extensive footprint in global markets and investment banking, and has a strong commitment to the long-term career development of its employees.

If you have a successful track record of being in a Model Validation role or quantitative team within the Front Office, you can take your career forward with this exciting Quantitative Market Risk Manager (AVP/VP) role.

Apply today to discuss this opportunity.

Robert Walters (Singapore) Pte Ltd

ROC No.: 199706961E | EA Licence No.: 03C5451

EA Registration No.: R1543873