Model Validation

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Salary/Rate : ¥9M - ¥15M
Location : Tokyo Metropolis
Post Date :
Employment Type : Permanent
Job Reference : 0010003513-FS
Job Classification : Financial Services

Description :

Model Validation (implementation of the validation engine and analyses of the model risk)

Responsible for 1) validation and periodical review of the pricing models, 2) development and maintenance of the programing codes for the review and 3) analyses of the model risk. Our team’s activity is to validate the new pricing models or review the existing pricing models periodically and to give the feedbacks including recommendations to the model users within the model risk management framework. Candidates should have sufficient communication/presentation skills either or both in Japanese and English. We expect candidates to have background in mathematics and programing skills. We also welcome candidates who do not have work experience in a financial institution, but have potential and self-motivated. The following is the open position.

Skilled pricing model validator

Requirements:

Sufficient background in financial mathematics (Incl. knowledge about derivative pricing models). Experience in computer programming in C++ and/or C# languages. Fluent in English.

Preferred qualifications:

Working experience in a financial institution (e.g., Model validator, Front office quantitative analyst or Financial engineer) over 5 years, however not a minimum qualifications.

Japanese language:

Business level (e.g., JLPT N1 or N2) or fluent

Position:

VP

Notes:

In-house pricing engine covers IR, FX, EQ and credit derivative pricing models for plain vanilla and exotic products mainly. We welcome a candidate who is a good logical thinking and has a good balance between 1) mathematical skills, 2) IT engineering skills or motivation to develop the skills and 3) communication/presentation skills.

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Tokyo

Ote Center Bldg, 22F
22F 1-1-3 Otemachi
100-0004 Tokyo
Phone : +813 5219 6633

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