Position: Financial Engineer
Location: Xinyi District,Taipei
Introduction
An American Company headquarter based in New York City is looking for a
Financial Engineer role to serve its North Asian clients, which is market’s
leading provider of risk analytics technology for the pricing, structuring,
modeling and valuation any derivative instrument, or portfolio. We enable
global financial institutions to understand performance, analyze and anticipate
future derivatives risks with unparalleled speed and accuracy
Responsibilities
‧Provide demo for potential clients and advise for business solutions.
‧Provide consulting, training and professional services for clients using
Company products for integrated/independent pricing and risk analytics system.
‧Structure examples of real trades and perform valuation and/or risk
analytics tasks using Cross Asset library and other Company Products and tools.
‧Work with customers and internal team on various key projects ranging fr
structuring, valuation, quantitative advisory services, training,
documentation, QA, implementation, quantitative research and development etc
‧Analyze the gap between company product and customer requirements and wr
specification documentation for the development of new features and products.
‧Design and perform testing on models (calibration and pricing) and risks
across multiple asset classes on various company products.
Experience and Skills Required
‧MSc or PhD in Mathematics, Statistics, Physics, Computer Science, Actuar
Science, Engineering, or related field. Related research experience is
preferred.
‧Strong knowledge and/or hands-on working experiences in derivative prici
models and instruments across interest rate, cross-currency, credit, inflation,
equity, foreign exchange, commodity, insurance, and/or hybrid products.
‧Strong mathematical skills including stochastic calculus, numerical meth
for PDE, Monte Carlo simulation, probability and statistics, linear algebra,
and financial modeling.
‧Good Hands-on experience on Excel VBA and object-oriented programming su
as C++, C# or Java.
‧Knowledge and/or experiences in counterparty credit risk (such as AMC, C
FVA, PFE, incremental CVA, collateral, netting, CSA, CVA VaR, PD, EAD, credit
models, Economic Capital, …) and/or market risk (such as VaR methodologies
(parametric, historical, and Monte Carlo), incremental VaR, marginal VaR,
stressed VaR, backtesting, Basel, scenario generation, PCA, …).
‧Ability to communicate confidently and concisely both verbally and in
writing.
‧Self-motivated and quick-learning professional able to address complex
technical challenges, and produce high quality solutions in an efficient and
timely manner.
Salary: $1M - 1.5M TWD per year; Negotiable
If you are interested in the role, please send your resume to
[email protected]