Quantitative Analyst, Associate

  • 34610
  • Life - Other
  • |
  • Japan
  • |
  • Jan 25, 2019
  • |
  • Japanese
Bank or Investment Advisor
  • The role will be focused on a comprehensive review of IR/FX valuation models used in the firm for valuation and risk management of their positions, including:
  • Assessment of the input parameters, major model assumptions, model theory, risks and mitigating factors.
  • Review of implementation.
  • Benchmarking these models by implementing both cash flow projection models and stochastic models.
  • Model Risk analysis: identification, analysis, and quantification of model limitations.
  • Model Risk/Performance Monitoring and Reporting.
  • Build simple tools supporting day to day model validation activity.
  • Clearly and concisely communicate the results of the Model Validation analysis to the rest of the team, other functions and senior management.
  • Be confident with various numerical methods to quantify PV and risks of a transaction.
  • Actively contribute to global IR/FX MVG projects.
  • Provide a hands on model approval support to AEJ Trading.
  • Closely work with all stakeholders.
  • Understand the basic regulatory framework .
  • A minimum of 2-4 years working experience in a quantitative environment.
  • A postgraduate degree in a quantitative discipline.
  • Established experience in IR pricing models.
  • Advanced programming experience in a professional environment in C++.
  • Excellent verbal and written communication and interpersonal skills.
  • PhD in a quantitative discipline.
  • Knowledge of FX and long dated FX models/products.
  • A proactive approach to model risk management.
  • Japanese proficiency is very desirable.