Credit Model Validation Quant Analyst – Quantitative Analytics – US Investment Bank – New York, USA
JOB DESCRIPTION
A growing US Investment Bank is proactively seeking an experienced model validation quant (VP-SVP) to expand its coverage. This is an expansion hire, where they need a skilled validation quant that can incorporate market acumen and strong quantitative methods. As Basel III arrives and other tightening regulations impact this space, the group have increasingly more work to cover making this an important hire.
Those that will be successful in this position will be able to work within the regulations to review and validate existing models. As an experienced hire this needs someone who is not only experienced in either front office pricing or model validation but someone capable of learning quickly and getting emerged in projects from the outset. The pace of culture in a more academic and collaborative atmosphere should appeal.
Location: New York, USA
The role:
• Validate existing complex credit models within FICC quant pricing models to ensure they work.
• Mathematical analysis of financial markets, understanding how models relate to the markets.
• Review the underlying assumptions, theory and limitations of the model being validated.
• Analytical support to fellow validation quants and risk specialists to challenge the models.
• Write model validation reports describing the results of validation analyses.
Requirements:
• This is a more academic and collobrative atmosphere than many validation teams.
• The group are va hands on quantitative model validation team who work alongside risk specialists.
• Have 2-5 years front office pricing or validation of models experience.
• Want those that are theoretical and technical in mindset but practical in reality.
• Academics must include an MSc or PhD from a quantitative school or university.
• Excellent communication skills in order to express complicated methodologies to the business.
In return they are offering:
• Have the exposure but in a more relaxed environment conducive to intellectual thoughts.
• Huge opportunity to attain growing leadership duties and projects within the quant analytics space.
• Competitive compensation, Intellectual stimulation, team environment, less intense work hours.
• Exposure to a very quantitative group who play a progressive part as regulations are enhanced.
Key words: model validation, model comparison, model review, validation, modifying models, validating, validation analyses, credit, credit validation, FICC, Fixed Income validation, numerical methods, stochastic calculus, quant analytics, quantitative analytics.
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
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While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
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