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Equities Pricing Model Validation Quant AVP

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH765691
  • Mar 10, 2021
  • Competitive
Job Description

Global investment bank seeks an AVP level Equities Pricing Model Validation Quant. Focus of the team is the validation of pricing models.

Your role
Does complex modelling excite you? Are you an innovative thinker?
We're looking for someone like that who can:

contribute to the development of benchmark models in C++ in our
in-house cutting edge library
independently review exotic equity derivative models
approve exotic equity trade approval transactions
provide expertise on model suitability, calibration, speed and accuracy
represent the team at internal meetings
work closely with front office quants, market risk control, and trading

Your team
You'll be working in the Model Validation team focusing on equity and
equity-hybrid derivatives. As part of Group Risk Control, the main
objective of the team is the validation of the models used for
valuation and management of the firm's trading positions from a market
risk perspective.

Your expertise

Relevant working experience in a similar quantitative role
MSc or PhD in a quantitative discipline
experience using C++ and Python, and implementing complex derivative
models using Monte Carlo and/or partial differential equation
techniques
excellent written and interpersonal communication skills
methodical, concise and accurate
motivated to drive strategic initiatives, while keeping a strong
attention to details
able to apply technical understanding to practical problems
willing to collaborate and share knowledge with your team

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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Consultant Details

Consultant Details

Alex Riedl
Alex Riedl
  • Principal Consultant
  • + 44 20 7092 0103
  • ariedl@morganmckinley.com