Credit Derivatives Model Validation, Quantitative Analyst, New York
Top US bank is currently looking for a model validation specialist to join the team focusing on credit derivatives pricing models. This role requires a good level of quantitative ability but also gives the candidate the chance to gain exposure to different senior stakeholders and areas of business.
The firm is doing well and has grown over the last year, especially within the financial engineering and quantitative analyst teams. The group is incredibly dynamic, has a cross asset focus and there is a lot of collaboration on various modeling projects including CVA and Hybrid models.
Responsibilities:
- Stress testing and validation of derivative pricing models, specifically in the area of credit derivatives, both single name and exotic structures.
- Development of benchmarking and simulation models from scratch – stochastic calculus, monte carlo, advanced PDE modelling
- Analysis and filtering of large data sets – SQL
- Advising the quantitative analysts and financial engineers on model improvements and setting a high standard of coding and implementation – C++
- Working closely with risk management and operational risk to ensure correct regulatory concerns and capital levels are considered with the model methodology.
- Communicating internally and reporting model discrepancies and errors
Qualifications
- Experience working with Credit Derivatives – understanding of the pricing methodology with hands on Modelling experience
- PhD or MSC in quantitative subject such as Mathematics, Physics, Financial Engineering etc.
- Good level of programming in C++, Matlab, VBA
- Statistical packages – SQL, SAS
- Excellent communication skill and an intellectual curiosity
APPLY | risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. Please ask for Kasey Churchill in our LA office (310 807 5025). Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5030
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 0203.141.8000
Westminster Tower | Office Hours: 8.00-20.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Markets
We are committed to protecting and respecting your privacy. Information on our privacy policy, together with our terms of business are available at www.gqrgm.com.
For the latest vacancies, please join our group on Linkedin: http://www.linkedin.com/groups?gid=1615777trk=myg_ugrp_ovr
Open all references in tabs: [1 - 5]
Leave a Reply
You must be logged in to post a comment.