Responsibilities
- Validate XVA system models and feeder models of bank’s counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modeling.
- Candidate is expected to play a lead role in validation of Credit or mortgage (including other securitized products) simulation and pricing models in Counterparty space
- Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
- Perform independently testing to identify/quantify model risk associated with the model being validated
- Prepare validation report and technical documents for the model being validated
- Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
- Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.
Requirements
- PhD or Master degree in quantitative fields such as mathematics, statistics, physics or equivalent
- In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modeling.
- Exceptional knowledge of financial derivatives, OTC trading and hedging, collateral management, capital management, bank’s operations and regulatory requirements
- Strong knowledge of Credit or Mortgage (including other securitized products) simulation and pricing models is essential.
- Strong coding ability in C++, Python or R is a plus
- 5 + years of work experience is required in quantitative modeling and/or validation in CVA/CCR or derivative pricing models. Experience on FVA/KVA models is a plus.
- Being critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning and a team player with good communication skills (both written and verbal)
