Derivatives Pricing Analyst
7 days ago
The Edge Partnership - The Edge in Asia: A Leading Global Banking Firm
We provide industry-focused services for clients across geographies. Our Risk Analytics Group (RAG) is seeking a highly skilled Quantitative Risk Modeler to specialize in Counterparty Risk Modelling.
This role involves developing and maintaining Potential Future Exposure (PFE) models and supporting risk management across Rates, FX, Credit, Equity, and Bonds. You will design and validate risk models, conducting performance analysis and implementing improvements.
Key Responsibilities:
- Develop and maintain counterparty exposure models for derivatives, repo, and securities lending transactions.
- Design and validate risk models, conducting performance analysis and implementing improvements.
- Collaborate with IT, risk validators, and front office to enhance risk measurement frameworks.
- Support business teams with exposure calculations and risk assessment.
- Provide analytical reports for risk committees and senior management.
Requirements:
- Hiring across 2 – 12 years of experience.
- MSc or higher in Mathematics, Statistics, Engineering, or a related quantitative field.
- Strong understanding of derivatives pricing, stochastic calculus, and risk modelling.
- Experience with pricing models, exposure models, or economic capital modelling.
- Proficiency in Python, R, VBA, and Excel (C++/C# is a plus).
- Excellent problem-solving, analytical, and communication skills.
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