Director – Interest Rates/Derivatives Quantitative – Model Validation – Market Risk
The successful candidate will review, verify, and validate existing risk and trading models for theoretical soundness as well as provide analytic risk support and analysis of the firm's extensive fixed income, derivatives and structured credit portfolio. The Candidate must be experienced in advanced stochastic processes [VaR, Monte Carlo, Finite Differential Techniques] used for pricing exotic derivatives such as barrier options, callable bonds, Bermuda Swaptions]. Candidates must have 5+ years of experience in model development and or model validation, advanced quantitative degree, current hands on programming expertise (C++, Matlab) and the ability to lead projects and work closely with traders and risk managers. A PhD is strongly preferred and knowledge of fixed income products, and derivatives is a requirement.
Keywords: Model Validation, Interest rate models, Term Structure, PhD, Monte Carlo, Stress Testing
Please refer to Job 20036 -EFC and send MS Word attached resume to jeg@analyticrecruiting.com.
Leave a Reply
You must be logged in to post a comment.