Our client, a global consulting firm, is working with an Asset Management Company (AMC) and is seeking a highly skilled Quantitative Risk Modeller with a strong background in financial derivatives valuation. The ideal candidate will have experience working with advanced modelling techniques, including Monte Carlo simulations and CFAR (Cash Flow at Risk), and will play a pivotal role in monitoring risks, cash flows, and complex derivative products.

This role provides an excellent opportunity to work in a dynamic and innovative environment within the asset management industry.

Key Responsibilities

Derivatives Valuation and Modelling

• Develop and implement valuation models for complex derivative products.
• Utilize Monte Carlo simulation and CFAR (Cash Flow at Risk)techniques to analyze and model financial instruments.
• Collaborate with stakeholders to ensure accurate pricing and risk assessment of derivatives.

Risk Monitoring and Reporting

• Oversee day-to-day monitoring of financial risks associated with derivative portfolios.
• Track and analyze cash flows to identify potential risks and discrepancies.
• Generate comprehensive risk reports to support decision-making processes.

Data Analysis and Optimization

• Extract, process, and analyze large datasets to derive actionable insights.
• Ensure data quality and consistency in modelling and reporting.
• Contribute to the optimization of existing modelling frameworks and tools.

Qualifications

• Educational Background: Degree in Quantitative Finance, Mathematics, Statistics, or related fields..
• Experience:
• 5+ years of experience in derivatives valuation and quantitative modelling.
• Proven expertise in Monte Carlo simulations and CFAR-related modelling techniques.
• Prior experience with asset management firms or financial institutions is highly desirable.
• Technical Skills:
• Proficiency in programming languages such as Python, R, or MATLAB.
• Strong understanding of financial derivatives, risk management practices, and valuation methodologies.
• Soft Skills:
• Excellent analytical and problem-solving abilities.
• Strong communication skills to present findings effectively to stakeholders.
• Ability to work in a fast-paced and collaborative environment.