- Validation and development of valuation models
- Provide functional inputs pertaining to Basel, including qualitative and quantitative validation
- Providing assistance on other risk management engagements such as market risk and treasury engagements
- Analyse credit portfolios, underlying risks and risk factors to then formulate approaches to develop appropriate credit models
- Develop credit models (PD, LGD, EAD, impairment, EL, as appropriate) using necessary statistical methodologies with the use of relevant analytical solutions
Experience and skills required:
- Between 4 to 8 years of quant experience.
- Degree in a Quantitative subject (Mathematics, Physics, Engineering, Statistics, Economics) or quantitative PHD candidates (research topic in Mathematics, Physics, Computer Science & Finance)
- Candidate from banking, asset management or consulting firms are welcomed
- Excellent knowledge of Python, SQL or other programming languages.
EA Reg No. R1105334