Model Validation Quant for Credit Derivatives (VP)

  • To £150K + Bonus + Benefits
  • London, England, United Kingdom
  • Permanent, Full time
  • Millar Associates
  • 26 Sep 16

The Model Validation team at this top-tier investment bank validates and implements into libraries Credit Derivatives models in close coordination with Front Office trading. They seek someone with very good communication skills, able liaise with stakeholders across the bank. Derivatives include: CDOs, Nth-to-default, CDS, Index Options, etc.

KEY RESPONSIBILITIES:

  • Independently review models for price and risk of Credit products
  • Implemented models into an independent C++ library
  • Discuss the results of reviews and implementations with Trading, Front Office Quants and Market Risk Managers
  • Provide advice and due diligence for new product approval.
  • Develop a deep understanding of the mathematical models used, implementation methods, and the trading risks

ESSENTIAL SKILLS:

  • PhD in scientific subject
  • 2-5 years experience in a Model Validation or Front Office Quant role.
  • Deep understanding of Credit models including: CDOs, Nth-to-default, CDS, Index Options, etc. and model fitting
  • Very strong interest in trading markets
  • Python coding abilities into a managed model library
  • Understanding of Stochastic Calculus, PDEs, Monte-Carlo, Finite Difference Methods, and Numerical Algorithms.
  • Excellent communication skills – both written and oral, in order to liaise with stakeholders