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.
Refer to Job#20036-EFC and email MS Word attached resume to Jim Geiger, jeg@analyticrecruiting.com or register online at www.analyticrecruiting.com choosing Jim Geiger as your contact recruiter.
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