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Model Validation Quant Rates/FX - AVP

Employer
Morgan McKinley
Location
UK
Salary
Competitive
Closing date
28 Jun 2022

View more

Sector
Accountancy
Contract Type
Permanent
Hours
Full Time
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Job Summary
  • London
  • Permanent
  • BBBH792410
  • Jun 11, 2022
  • Competitive

Job Description
Global investment bank seeks an AVP level Model Validation Quant to review and analyse derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products.

The Model Risk & Analytics team provides oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results. Model Validation as part of Model Risk Management and is responsible for the independent review of all derivative pricing models used for valuation and risk across the Bank. You will be reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products.

Your key responsibilities
  • Undertaking work on Model Validation research and developing projects with aim of testing production models on Interest Rates Derivative, FX, and Hybrids
  • Implementing models/products in a managed C++ or Python library
  • Collaborating with Front office Developers, trading, Market and other stake holders
  • Engaging with the due diligence aspects of the New Product Approval Process

Your skills and experience
  • PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics. Strong candidates with other post-graduate qualifications may also be considered
  • Significant 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
  • Experience coding in C++ in a managed codebase

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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