AVP / VP Model Validation Quant
My client is a US bulge bracket investment bank. Due to an internal transfer they are looking to hire an experienced model validation quant with a strong background in Interest Rates and FX.
Job Description
Validate Rates models developed by Front Office Quants.
Coverage includes these asset classes: IR (Interest Rates).
Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.
Identify and quantify model risk associated with the model being validated.
Develop benchmark models in C++ for model review and model risk management purposes.
Prepare validation report and technical documents for the model being validated.
Assist market risk managers on trade approvals and finance on price verification methodologies.
Responsibilities
Validate Rates models developed by Front Office Quants. Coverage includes these asset classes: IR (Interest Rates).
Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.
Identify and quantify model risk associated with the model being validated.
Requirements
PhD Degree level education in a quantitative discipline (Maths, Physics, Actuarial Science, Finance) or a First Class MSc Degree in Financial Mathematics or equivalent
FX or Rates exotics experience
Excellent Excel and VBA skills
Experience of C++
If you are interested in this position and genuinely meet the criteria please forward your resume to jonathan.dover@hays.com
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