VP- Quant Risk Pricing – OTC Derivatives – Tier1 Investment Bank recruitment
Working as part of the Risk Pricing team, this quantitative role has significant cross over between Risk, Finance and Structuring teams. You will be responsible for the delivery of accurate OTC derivative valuations for instruments to a consistent global standard for buy side clients. Key to this delivery will be the review of pricing models initial model validation and ensuring a standard global approach to pricing model validation in conjunction with quantitative Risk Group and the Global Pricing Team.
Main responsibilities will include:
- Assessing the Risk and Pricing models across a range of OTC derivatives.
- Deconstructing, calibrating and tweaking models where and when necessary.
- Formulating complex valuations and risk measurement for new and complex products.
- Collaborating with Senior Management, front office quant and risk teams to improve existing methodologies.
- Main point of contact for trading and structuring teams regarding pricing and valuation issues.
Potential candidates will possess the following:
- Strong mathematical / scientific background preferably PhD in finance, mathematics or related field.
- Financial mathematics modeling knowledge.
- Understanding of exotic, derivative complex structured products including modeling model inputs.
- OTC derivative products understanding.
- Financial mathematics modelling knowledge.
- Model comparison as well as validation and researching model performance and effectiveness.
- Good VBA, SQL and C++ skills.
- Previous experieince with Calypso advantageous.
My client offers exceptional benefits and a highly competitive compensation package. If you are interested in this role then please reply to this advert with an up to date copy of your CV or contact me on 0207 469 8955.