Credit Model Validation Quant, VP
The role is as a Quantitative Analyst to independently review and analyse derivative models for price and risk of Exotic Credit products
Reviews and analysis require deep understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks that are inherent from trading these products. In addition to theoretical analysis and review it is required (where appropriate) that model/products are independently implemented in a managed C++ library.
The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including: Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers.
Additional responsibilities will include active engagement with the due diligence aspects of the New Product Approval Process.
Supervisory responsibility
Key skills
- PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics. Strong candidates with other post-graduate qualifications may also be considered.
- Previous 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 pricing models.
- Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and experience.
- Experience coding in C++ in a managed codebase.
- Excellent communication skills - both written and oral.
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