Pricing Model Validation Quant Developer
C++ Pricing and Model Validation Quantitative Developer
Investment Banking: C++ Quantitative Developer – C++, pricing, Model validation, mathematics, Stochastic calculus, volatility, Interest rates, FX derivatives, credit inflation, Multi curve building.
Education:
Strong mathematical background
Essential:
Excellence with C++
Strong design/interface architectural skills
Pricing
Modelling
Strong interpersonal skills
Solid aptitude
Our investment banking client is currently seeking a Senior Quantitative developer who has worked in Front office or part of a model validation team. You will be part of a highly skilled team responsible for each of the following:
• Development of pricing models covering all the asset classes in their independent model validation Library framework
• Qualitative assessment and stress testing of pricing models (pricing and risk calculation, appropriateness of the models)
• Participating on building a designed and unified library framework for running model risk
• Development of alternative models and tools to calculate the model risk adjustments (Prudential valuation adjustment)
• Documentation according to the governance policy of the model risk reserves/ratings and PVA
The successful candidate will have knowledge of best practices on interest rates and FX derivatives as well as credit inflation modelling (Markov functional models, HJM,BGM, Stochastic volatility models, intensity based models etc).
Experience multi curve building/modelling and CSA/OIS discounting would be highly beneficial.
Please send your CV to Billy.McDonald@Hays.com if you would like to be considered for this opportunity.
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