Create and execute financial and functional test plans for the pricing, risk (counterparty/xva, market) following systematic approach working under the direction of financial validation team.

In conjunction with Business Analyst and development teams conduct testing of products by analyzing them to determine likely problem areas, constructing and using sample data to test product failures. Prepare and share detailed test plans and methodology with business analysts and development.

Prepare financial test cases or scripts and supporting test data for each assigned product feature to ensure that the data adequately tests all possible situations

Price real-world trades to ensure that the programming code meets the standards of active traders in these instruments and carryout benchmark studies. Perform financial validation of bootstrapping and stripping market dividend, yield, convenience, forward curves, interpolation and construction of volatility surfaces and cubes and making sure... that these techniques meet market standards

Review market conventions, terminology and calculations for vanilla derivatives products (Floating Rate Notes, Inflation linked Bonds, Exchange traded instruments, Options etc.) used by market practitioners to validate Numerix implementation and benchmark them against other commonly used systems in market

Utilize object oriented structures with Market Data, Models and Deal details for pricing in Fixed Income and Equity asset classes and prepare financial test

Prepare XML tests for on-going regression testing of the software. Assist with clearing and understanding the regression test results.

Work with various layers of development at Numerix to ensure consistent development of new features and fixes.

Conduct detail research and analysis of defined financial engineering problems.

EDUCATION

Masters in Mathematical Finance / Financial Engineering and Bachelors in Mathematics, Engineering or Computer Science.

COMPETENCIES AND SKILLS

Ability to write test plans and test specs. Familiarity with back testing, round trip, convergence testing strategies concerning derivatives and model validation. Familiarity with QA test levels such as unit, integration and system testing.

Strong Programming skills in Python, C++ and Object Oriented Programming.

Experience with a range of numerical methods to solve mathematical problems

Knowledge in financial engineering concepts and becoming specialist in key areas

Familiarity with Product Structures, Curve Buildings, Pricing Models, Risk and Market and Reference Data

Working knowledge of SQL server

Strong Excel skills. Ability to build Excel-based financial applications with high-quality usability, including Graphs, PivotTables, Statistical Analysis.

Detail oriented and willingness to take ownership of issues

Excellent oral and written and interpersonal skills

Strong knowledge of financial mathematics: Models in BS framework, Monte Carlo techniques, Numerical Methods, Stochastic Processes

Strong knowledge of derivatives: FI (Interest Rate), FX and CC derivatives, Credit Derivatives, Risk/Sensitivity Analysis, Commodity and Inflation class

Knowledge of risk management techniques: VaR analysis (Analytical, Historical, simulation based), CVA, PFE, etc.

WORK EXPERIENCE
Experience with model validation field is an asset.
Experience working with software libraries for derivatives pricing would be a plus.

Hong Kong

Salary Criteria