• Please send CV to jlee@numerix.com  if you are interested by Mar 11^th, 2022.
• Position: Financial Engineer Full Time, Korea

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.