Model Validation as part of Model Risk Management is responsible for the review all derivative pricing models used for valuation and risk across the Bank. As a Quantitative Analyst you will be reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products.
Your Key Responsibilities
- Reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products
- Understanding of the mathematical models used, implementation methods, products traded, and the associated risks
- Ensuring model/products are independently implemented in a managed C++ library
- Fostering relationships with key model stakeholders including Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers
- Supporting with the due diligence aspects of the New Product Approval Process and involvement in bank wide strategic initiatives
Your Skills And Experience
- Educated to Bachelors degree level or equivalent qualification/relevant work experience, a Doctorate of Philosophy (PhD) qualification in a numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics would be beneficial
- Demonstrable experience in a Model Validation or Front Office Quant role
- Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms
- Deep understanding of interest Rates and FX derivative models
- Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience
