Interest Rate Derivatives Model Validation recruitment
-2-5 years experience in a quantitative role such as model validation or front office quant (they will not consider people with backgrounds in risk management or finance/valuations)
-MSc or PhD level degree in a relevant subject (maths/physics)
-Extensive knowledge of IR modelling (LMM, collateral discounting, yield curve building an absolute minimum, QGM and other short rate models a plus)
-Good product knowledge: model shortcomings for particular product types, main risk factors
-Working knowledge of C/C++
-Good interpersonal skills – the role involves frequent interactions with FO quant’s and trading