Senior MV Quant | NYC based recruitment

This position is a Model Validator in our clients Model Validation and Approval group.  The group is responsible for validating and approving all qualifying/stochastic models used. 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.  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 behaviour, response to stressed/extreme input conditions, etc.).  Work with MVAs internal Testing and Support group to develop and execute tests to support model validation.  Work with MVAs 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.

Basic Qualifications

4+ years trading or desk analyst/capital markets experience.

Minimum Qualifications

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.

Preferred Skills

Previous experience in financial model development or validation.  Strong interpersonal and communication skills, and ability to work effectively with a wide range of business partners including traders and trading management, finance, operations, technology.

The chosen candidate will be rewarded with a competitive salary and bonus package with the opportunity for excellent career progression within a challenging environment.

Keywords:

Quantitative Analyst; Model Validation; Middle Office; Cross-Asset; Exotics; Vanilla; Derivatives; Foreign Exchange; C++; Model Validation; Commodities; New York; USA;

To apply please contact quantexotic@selbyjennings.com with CV in word format or call + 44 (0) 207 019 4137.

www.selbyjennings.com