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Rates / FX Model Validation Quant Associate/AVP

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH767002
  • Sep 24, 2020
  • Competitive
Job Description

Global investment bank seeks an Associate or AVP level Quant Analyst as part of their expanding Pricing Model Validation team.

The team , is responsible for independently validating valuation models used for the books and records of the
Group, for official risk reporting and for use in stress testing. This role will focus on the validation of the derivatives pricing models, and an assessment of the associated model risk. There will be a focus on Rates

The Role Responsibilities
*Review and validation of front office derivative pricing models,
focussed on Rates models.
*Implementation of benchmark models (C++) and testing scripts (Haskell).
*Development of alternative models and methodologies in order to
assess model risk.
*Day to day support of stakeholders in all model related questions.
*Liaise with trading, front office quantitative analysts and
developers, and market risk and valuation control analysts, to ensure
speedy review and validation of new models and methodologies.

People and Talent
*Consulted on aspects of maintaining a team with high proficiency for
identifying and quantifying model risk. For example, by performing
interviews.

Regulatory & Business Conduct
*Display exemplary conduct and live by the Group's Values and Code of Conduct.
*Take personal responsibility for embedding the highest standards of
ethics, including regulatory and business conduct, across the Bank. This includes understanding and ensuring compliance
with, in letter and spirit, all applicable laws, regulations,
guidelines and the Group Code of Conduct.
*Effectively and collaboratively identify, escalate, mitigate and
resolve risk, conduct and compliance matters.

Our Ideal Candidate
*We are looking for someone who has the following skills and experience:
*Higher degree (MSc, PhD, DEA) in highly numerical subject such as
mathematics or physics. A PhD is preferred.
*Knowledge of mathematics, particularly statistics.
*Knowledge of stochastic calculus, financial mathematics for
derivatives pricing, and associated numerical methods, e.g. Monte
Carlo, PDEs and numerical integration.
*Experience in Pricing Model Validation
*Experience of implementing large projects in C++ or Haskell.
*Sound judgement in assessing the strength and weaknesses of modelling
approaches.
*Strong communication skills and ability to work effectively as part
of a Global Team and to liaise with key stakeholders.
*Fluency in written and spoken English.
*Strong writing skills with an ability to consistently produce
precise, accurate and concise documentation.

I

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