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Job Details

Associate-VP Model Validation Quantitative Analyst (Tier-1)

Permanent

Posted: 19 hours ago

Description:

Responsibilities:

  • Review new pricing codes, covering consistency checks, the verification of PnL explanations and validating the numerical methods used.
  • Perform independent validation and approval of models, including raising and managing model validation findings
  • Responsible for the validations for the asset-classes.
  • Validate the pre-existing developed quantitative models through developing alternative modelling tools that follow set objectives and documented approaches, bench-marking of results with the validated model, error tapping and recovery.
  • Independent model implementation works in existing FO library
  • Performing detailed quantitative analysis to assess model performance through analysing model outputs (bench-marking, sensitivity analysis, limiting case testing).
  • Communicating model review findings and recommendations to the front office traders, tech teams and model developers
  • Responsible for ongoing monitoring of internal models
  • Provide support to the risk management function for all quantitative issues on P&L, sensitivities & VAR, Stress-testing.

Qualifications

  • PhD or a Masters degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
  • Experience working in capital markets, focusing on model risk, validation, model development or testing pricing models and knowledge of financial products i.e. FX/FI/Cross-currency swaps.
  • Electronic trading development and/or validation
  • Algorithmic/quantitative/systematic trading strategies, hedge funds, credit risk management
  • Experience in dealing with exotic derivatives.
  • Deep knowledge of Credit derivatives pricing models.
  • Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques
  • Experience using Python, C++, Matlab, R, Quic, Summit and/or NumeriX.
  • Strong inter-personal and communication skills, with the ability to apply it to all levels and functions

Job Details

1590789277
Full Time
London, United Kingdom
Permanent