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

Selby Jennings
Royaume-Uni, Londres
Mise en ligne il y a 5 jours Hybride CDI Negotiable
Summary: A Tier 1 Investment Bank in London is looking to on-board an experienced and highly technical Quantitative Analyst to ensure the viability, robustness and reliability of the FO pricing models before they can be used for production purpose. You will be expected to expected to work effectively with other quants, traders and the front office tech teams, where you will play a key role in re-implementing models into the internal library, covering all the asset classes (IR, FX, Hybrid, equity, Algo-Trading, Risk, XVA, credit).

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
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Référence  PR/344208
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