Market Risk Model Validation Analyst, VP or Director Level recruitment
- Validate models used for marking positions and/or managing risk in one or more areas: interest rate, mortgage-backed securities foreign exchange, credit, equity, and commodities.
- Develop independent software to replicate results in models being validated.
- Review the underlying assumptions, theory, empirical evidence, implementation and limitations of the model being validated.
- Write model validation reports describing the results of validation analyses.
- Work closely with model users, developers and Risk Management colleagues to facilitate the model approval process.
Minimum Qualifications
- Ph.D. in Mathematical Finance, Mathematics, Operations Research, Computer Science, Engineering or Physics.
- Strong knowledge of derivative pricing model theory.
- Masters degree with exceptional skills also considered.
- Strong knowledge of stochastic calculus, stochastic processes (including jump and jump-diffusion processes), SDEs, PDEs.
- Broad knowledge of one or more of the following: interest rate pricing models, exotic equity and FX pricing models, jump models, stochastic volatility models, credit derivative pricing models, single and multifactor commodity derivative pricing models.
- Preference will be given to candidates with experience in equity derivatives or mortgage backed securities.
- Deep knowledge of derivative pricing methodologies, including trees, Monte Carlo (with American option pricing), and finite difference methods.
- Broad knowledge of financial products and hedging methodologies, including PNL attribution.
- Excellent programming skills with working experience in C++, Python and Excel/VBA.
- Excellent verbal and written communication skills.
For further information please contact John Meadowcroft on 020 7780 6700. Alternatively forward your CV to John.Meadowcroft@AnsonMcCade.com