Cross Asset Pricing Model Risk Quant, AVP/VP
- GBP0.00 per annum
- London, England, United Kingdom
- Permanent, Full time
- Morgan McKinley
- 07 Sep 16
Global Investment bank seeks a Quant Analyst at AVP or VP level to join its niche Quant Model Risk group.
The team have built their own library and the role will involve model building and development.
- Official in house validation of FO valuation or Risk models for various innovative vanilla and exotic derivative products across all asset classes.
- Valuation of models, including mathematical soundness, pricing algorithm, value, risk sensitivities and implementation.
- Document results of validation process, as well as issue official validation documentation.
- Communicating with the different parties involved in the approval process.
- Relevant experience in pricing hybrids exotic derivatives.
- In depth understanding of model calibration techniques.
- Strong math and numerical skills.
- Stochastic calculus.
- Strong C++, VBA/Excel.
- Good practices in model validation.
- Very good communication skills.
- PhD in Probability and Stochastic calculus with very good knowledge in mathematical finance.
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.