Derivative Pricing Model Validation Derivative Pricing Model Validation …

Selby Jennings Buyside
in Manhattan, NY, United States
Permanent, Full time
Last application, 20 Jan 22
Negotiable
Selby Jennings Buyside
in Manhattan, NY, United States
Permanent, Full time
Last application, 20 Jan 22
Negotiable
Selby Jennings Buyside
An International Investment Bank is searching for an AVP to cover Derivative Pricing and Model Validation. This position has great growth potential within the team and the firm.

An International Investment Bank is searching for an AVP to cover Derivative Pricing and Model Validation. This position has great growth potential within the team and the firm.

The ideal candidate has a strong quantitative and technical background, 2+ years experience, and working knowledge of derivative pricing.

Responsibilities:

  • Review and validate derivative pricing, market risk, and margin models
  • Design model methodology, incorporating market data to establish parameters and limitations
  • Develop benchmarking tests and challenge model assumptions to identify inaccuracies

Qualifications:

  • Advanced degree in Quantitative Discipline (Engineering, Quant Finance, Physics, or similar)
  • 2+ years experience in model development/validation, risk management, or quantitative analysis
  • Strong knowledge of derivative pricing theory for IR/FX/Credit/Equity products; equity derivatives knowledge preferred
  • Proficiency using Python, MATLAB, C++ strongly preferred
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