アクティブ・クレジット・ポートフォリオ・マネジメントの求人

The successful candidate should be educated and confident in financial mathematics and computational finance.
He or she should be familiar with the mathematical techniques in portfolio analysis and calculation of default probabilities.
He or she should have extensive general coding experience in C++; some experience in numerical programming in C++; understanding of fundamental probabilistic and statistical concepts; and understanding of basic bond math and the pricing of standard fixed-income instruments (interest rate and credit).
Japanese speaking ability is a plus.

Performance Objectives 目標

Support the numerical side of the team in creating theoretical pricing structures for non traded names
Developing models to price hedges to be traded with the market
Develop models to price baskets and tranches of credit to sell to and buy from the markets.
Model the effects of buying and selling the above products on the bank’s credit portfolio.
Model new methods of measuring risk in the portfolio
Work with the ACPM team and IT to create tools to do the above efficiently.

ACPM
Responsibilities will include analysis of the overall credit portfolio with a view to coming up with hedging ideas, recommendations to improve risk capital returns and optimise usage of regulatory capital as well as working on potential securitizations and portfolio swaps.
The person will be expected to contribute to the creation, enhancement and maintenance of analytical tools to quantify, monitor and improve the credit portfolio of the bank; make recommendations to improve the diversity and the return of the credit portfolio and be involved with the implementation of investment ideas for the excess liquidity investment portfolio.

・Internship and/or some practical experience preferred
・Masters degree in financial mathematics or computational finance preferred. Masters in financial mathematics also acceptable.