Quant – Model Validation

This position is a Senior Model Validator role within a succesful and growing investment bank.

The group is responsible for validating and approving all qualifying models used by the front office trading desk.

These models are primarily for pricing and risk measurement of derivative instruments on various underliers including commodities, equities, foreign exchange, interest rates, municipal products, asset backed securities and structured products. 

Responsibilities

Review and assess the appropriateness of models underlying assumptions. 

Review and assess the theoretical and conceptual soundness of models. 

Verify models performance (correct implementation, limiting behavior, response to stressed/extreme input conditions, etc.). 

Work with internal Testing and Support group to develop and execute tests to support model validation. 

Work with internal Library Development group to ensure that appropriate benchmarks are included in each validation. 

Quantify the degree of model risk inherent in each model.  Interpret test results in the context of model applicability. 

Write validation reports distilling the relevant results of testing and theoretical review, calling particular attention to areas of concern or uncertainty. 

Work with other members of Risk Management to ensure that when necessary appropriate limits around model use are in place. 

Support relationships with regulators and internal audit.

Requirements to be considered for this position.

-Ph.D. in a quantitative discipline (e.g., Mathematical Finance, Mathematics, Operations Research, Computer Science, Engineering, Physics).
 
-Sound knowledge of stochastic calculus, stochastic processes (including jump and jump-diffusion processes), SDEs and PDEs.

-Experience in 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.  

- Deep knowledge of derivative pricing methodologies, including trees, Monte Carlo (with American option pricing), and finite difference methods. 

-Strong programming skills, including Excel/VBA, C/C++ and Python.  Excellent written and verbal communication skills

If you wish to apply for the role or discuss with one of our senior consultants please hit the apply button.

May 29, 2013 • Tags:  • Posted in: Financial

Leave a Reply

You must be logged in to post a comment.