Job Description

The Singapore team is looking for an AVP to join their Model Validator, Traded Risk team of which they perform in depth technical model validations of models covering pricing, market and counterparty credit risk of derivatives spanning all asset classes. You will be expected to perform model validations, build benchmark models and conduct testing and develop standardised model testing frameworks in this role. Role and responsibilities

• The role sits with the Market Risk Validation (MR) team which focuses on VaR models. The role requires collaborative working both across the local team in the Singapore and other validators in Europe.
• Work with stakeholders across business to ensure that market risk models are properly reviewed and validated.
• Liaise with key stakeholders, including sales & trading, front office quantitative analysts and developers, market risk management throughout the model risk model lifecycle.
• Contribute to the implementation of independent benchmark/alternative models and development of standardized testing suites to enable exploration and quantification of model risk.
• Delivery of validations of a high quality and according to agreed timelines.
• Provide oversight of the model validations performed in the MR model space in the context of both internal and external (vendor) models to ensure they are fit for their intended use cases and that key risks are identified and communicated to stakeholders.
• Ensure sound judgement in the assessment of the strengths and weaknesses of modelling approaches.
• Actively participate in any key committees or other governance processes that oversee the performance of the MR models.
• Ensure compliance with any Operational Risk controls over processes that relate to validation activities.
• Awareness and understanding of, the regulatory framework in which the Group operates, existing and emerging regulatory requirements, and the expectations relevant to the role.
• Maintain an open and cooperative relationship in dealings with regulators.

Key requirements

• PhDs in highly numerical subject such as mathematics, physics, engineering or mathematical finance is expected. Other equivalent highly numerical qualifications/experience which demonstrate a high level of independent technical critique may be exceptionally considered but PhD is preferred.
• 2 plus years of Experience in either a model validation or model development role covering pricing, or risk modelling for derivatives for a minimum of three years is expected. Candidates with other similar technical experience will be considered.
• Demonstrable knowledge and ability to apply mathematical techniques in modelling problems ideally including stochastic calculus.
• Knowledge and some practical experience of coding, ideally including C++ but other languages would be considered.
• Strong communication skills to facilitate the ability to work effectively as part of a Global Team and liaise with key stakeholders.
• Strong writing skills with ability to present conclusions and recommendations from technical projects to a less technical audience.

Only shortlisted candidates will be responded to, therefore if you do not receive a response within 14 days please accept this as notification that you have not been shortlisted. Morgan McKinley Pte Ltd, EA License No: 11C5502 Lee Boon Hou (Hagen), Registration No: R1870932 hlee@morganmckinley.com