Senior Pricing Model Validation Manager - Rates/FX

Employer
Morgan McKinley
Location
UK
Salary
Competitive
Closing date
14 Jul 2022
Job Summary
  • London
  • Permanent
  • BBBH792149
  • Jun 11, 2022
  • Competitive

Job Description
Global investment bank seeks a senior Pricing Model Validation Manager to cover development projects with aim of testing production models on Interest Rates Derivative, FX, and Hybrids

The Model Risk & Analytics team provides independent 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 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 FX products.

Your key responsibilities:
  • Undertaking work on Model Validation research and development projects with aim of testing production models on Interest Rates Derivative, FX, and Hybrids
  • Implementing independent models/products in a managed C++ or Python library.
  • Organizing discussion with Front office Developers, trading, Market and other stake holders

Your skills and experience:
  • PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics would be beneficial
  • 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
  • Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience

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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