AVP / VP Model Validation Quant
My client is a bulge bracket US Investment Bank. Due to recent changes in the regulatory environment they are looking to make a number of key hires within their Model Validation Group. As part of this they are looking to add an experienced pricing quant from a Fixed Income background to the team.
The Role:
Assessing risk and validating mathematical models used in financial pricing and risk management. The main focus will be on fixed income pricing models and on risk models used for capital calculations, both in market (e.g. VaR) and credit (e.g. Counterparty) risk.
Model Validation is the set of processes and activities intended to verify that models are performing as expected, in line with their design objectives and business uses. This includes assessing model risk by reviewing model assumptions, verifying the mathematical formulation, conducting business analyses, and developing similar models to perform statistical testing, and writing validation reports. Job responsibilities include interacting with model developers, risk managers, product controllers and other staff members, and internal, external, and government auditors. Validations are done in 2 steps: Interim (or Level 1) validations involve assessing the adequacy of model documentation, conducting minimum statistical testing and re-deriving any formulae, and opining on whether this model seems plausible. Full (or Level 2) validations involve using the documentation as model specification, building a replica of the model, checking that the implementation was done properly, and conducting full-range model testing including stability and sensitivity analyses, benchmarking with other models or model estimates and cross model comparisons. The successful applicant will gain a wide exposure to a variety of different products and models across the bank and provides the opportunity to work in an intellectually stimulating environment.
The successful candidate will be exposed to a variety of fixed income pricing models and risk models used for capital calculations. Model Validation provides a natural development for the quantitative skills required for front office development or structuring roles. Similarly a move sideways into the Risk Management world is equally possible.
The Model Validation Group currently has a wealth of knowledge from the large number of experienced individuals currently within the group, allowing for the possibility of learning internally.
The Candidate:
• Understanding of derivative pricing theory.
• Experience developing pricing and/or risk models.
• Solid understanding of stochastic calculus and the ability to transform technical research into working models.
• Understanding of Basel and regulatory rules on capital modelling and back-testing is advantageous.
• The implementation work will require a strong knowledge of programming in C++
• Candidates will have to demonstrate a sound knowledge of Probability Theory, Stochastic Calculus, Partial Differential Equations and Numerical Methods.
• PhD in a quantitative field
• Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience
• Strong Communication Skills
• Strong Presentation Skills
• Ability to organise.
• Ability to work in a team
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