[Numerix] Financial Engineer (Full Time) 채용

[Numerix] Financial Engineer (Full Time) 채용

작성자: 
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Position: Financial Engineer Full Time, Korea

Please send CV to jlee@numerix.com  if you are interested by Mar 11th, 2022.

 

Role:

  • Gain expertise in using our sophisticated structuring, pricing, risk management and front system for InterestRate, FX, Hybrid, Equity, Credit exotics/structured derivatives.
  • Provide help in developing templates with new derivative structures powered by Numerix pricing engine.
  • Interact with quants from other banks, securities houses, insurance companies to explain our models and understand requirements for new models and risk analyses.
  • Ability to interact with Numeri quantitative developers (Does not have to be a programmer but needs to be able to read, understand, explain, C++/Java/C/VBA code.)
  • Work with Clients and Financial Engineers to analyze product gaps and enhancement requests, draft technical specifications and assist Management in prioritizing developmental efforts
  • Provide instruction to clients from time to time on modeling and structuring issues.
  • Communications between clients and Numerix engineers in implementation projects
  • Configure Numerix software based on exact requirements from clients
  • Explaining Numerix software
  • Quantitative Support

 

Qualifications:

  • Zero to Five years’ experience of Korean capital market.
  • Academic background in either Financial Engineering, Engineering/Physics, or Applied Mathematics/Mathematics, Economics/Finance (not mandatory)
  • In-depth familiarity with Product Structures, Curve Building, Pricing Models, Risk and Market and Reference Data.
  • Strong knowledge of both vanilla and exotic derivatives: Interest Rate, FX, Hybrid, Equity, Credit exotics/structured derivatives, Variable annuities, Risk/Sensitivity Analysis, Economic scenario generator, Real world measure(a plus)
  • Understanding of Derivative transaction life-cycle management from both a Front and Back Office perspective.
  • Fairly knowledgeable of financial models and methods: Models in the BS framework, HW, Local Volatility Model, LMM, Monte Carlo techniques, Numerical methods, Stochastic processes
  • Knowledge of Excel/VBA,C++/Java/C (must be able to understand, explain C++/Java/C syntax/headerfiles).
  • Knowledge of risk management techniques: Greeks, Dynamic Hedging and P&L attribution/analysis.
  • Knowledge of Credit Exposure (CVA, PFE, FVA), VaR analysis (Analytical, Historical, simulation based, Incremental VAR, Conditional VAR and Marginal VAR methodologies),and other methodologies a plus.
  • Familiarity with regulatory standards such as SIMM, FRTB SA, FRTB IMA and IFRS17/K-ICS a plus.
  • Knowledge of insurance, Risk Neutral ESG, Real World ESG and ALM is a plus
  • Knowledge of Access, Excel (inc. automation skills), Relational DBs, SQL and VBA as well as experience with OTC Derivatives systems: Bloomberg, Calypso, MUREX, Summit or similar vendor application(s) is a plus.
  • Ability to multi-task and effectively manage multiple deadlines and deliverables.
  • Strong attention to detail and willingness to take ownership of issues.
  • Korean is MUST and English (Spoken/written) is a big plus.