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Job ID: 34610
Job Openings by Title Quantitative Analyst, Associate
Location Japan
Position:	Quantitative Analyst, Associate

Company:	Bank or Investment Advisor

Location:	Japan

Job ID:		34610


- The role will be focused on a comprehensive review of IR/FX valuation models used in the firm for valuation and risk management of their positions, including:
- Assessment of the input parameters, major model assumptions, model theory, risks and mitigating factors.
- Review of implementation.
- Benchmarking these models by implementing both cash flow projection models and stochastic models.
- Model Risk analysis: identification, analysis, and quantification of model limitations.
- Model Risk/Performance Monitoring and Reporting.
- Build simple tools supporting day to day model validation activity.
- Clearly and concisely communicate the results of the Model Validation analysis to the rest of the team, other functions and senior management.
- Be confident with various numerical methods to quantify PV and risks of a transaction.
- Actively contribute to global IR/FX MVG projects.
- Provide a hands on model approval support to AEJ Trading.
- Closely work with all stakeholders.
- Understand the basic regulatory framework .


- A minimum of 2-4 years working experience in a quantitative environment.
- A postgraduate degree in a quantitative discipline.
- Established experience in IR pricing models.
- Advanced programming experience in a professional environment in C++.
- Excellent verbal and written communication and interpersonal skills.
- PhD in a quantitative discipline.
- Knowledge of FX and long dated FX models/products.
- A proactive approach to model risk management.
- Japanese proficiency is very desirable.

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