Quant Analyst - Model Validation, Interest Rates - VP/Director Quant Analyst - Model Validation, Interest Rates -  …

Anson McCade
in London, England, United Kingdom
Permanent, Full time
Last application, 09 Aug 19
Negotiable
Anson McCade
in London, England, United Kingdom
Permanent, Full time
Last application, 09 Aug 19
Negotiable
Anson McCade
Our client are looking for a quant expert in interest rate derivatives and hybrids. You must know how to validate term structure models for official valuation and risk management

Our client are looking for a quant expert in interest rate derivatives and hybrids. You must know how to validate term structure models for official valuation and risk management. You responsibilities will include;

  • Validating models to detect and quantify risks.
  • Identifying the use of mathematically flawed models, quantify errors, and propose alternative solutions.
  • Identifying models which while being mathematically sound, are not applicable to the given product and/or market.
  • Highlight the potential of use of wrong or inconsistent input values for parameters, which are not readily quoted in the market (e.g., skew, correlation etc.).
  • Performing product certification and approval of single trades and review new products with special emphasis on valuation and risk management.
  • Detect misunderstood and/or understated risks and identify unnoticed market changes (e.g. new traded products) which affect current valuation.
  • Develop benchmark models in C++.

You will be part of the Rates Valuations Models team, covering valuation models used for linear/nonlinear rates, inflation and hybrid derivatives. This team covers all aspects of model validation, model-related issues in trade pre-approvals and reserves for interest rates, equities, commodities, foreign exchange, and credit derivatives products, assessment of the impact of models on valuation, market, and credit risks. Together with other teams, it also develops methodologies for aggregating market and credit risks, to provide bank-wide risk analysis for senior management.

Requirements:

  • Previous experience in a similar role in an investment bank, such as model validation or front office in rates exotics, hybrids and inflation.
  • Masters degree in a quantitative discipline (mathematics/physics) is a prerequisite. A PhD from a top tier institution is strongly preferred.
  • Strong knowledge of rates exotics and their models (term structure models, local stochastic vol models applied in BGM framework).
  • Hands on experience with C++. Some familiarity using Python and VBA desirable.
  • Ability to develop models in a timely manner, using innovation and common sense.

Strong knowledge of stochastic processes, probabilities and numerical analysis.

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