Fixed Income, Model Validation, VP, Corporate - Risk Management

  • Competitive Base + Bonus
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Jefferies
  • 21 Jun 18 2018-06-21

Jefferies International Limited is looking for a Vice President Quantitative Analyst to join their Model Validation function in London, reporting to the European Head of Quantitative Risk.

Company

Jefferies, the global investment banking firm, has served companies and investors for over 50 years. Headquartered in New York with its European head office in London and staff in over 30 global cities, the firm provides clients with capital markets and financial advisory services, institutional brokerage and securities research, and wealth and asset management. Jefferies provides research and execution services in equity, fixed income, foreign exchange, futures and commodities markets, and a full range of investment banking services including underwriting, merger and acquisition, restructuring and recapitalisation.

Team

The team focuses on the validation of firm’s Risk and pricing models used in London and New York.  Successful candidates should have diverse derivative pricing and risk modelling / validation experience and to be able to operate in a fast-moving and entrepreneurial working environment.

Role

Jefferies International Limited is looking for a Vice President Quantitative Analyst to join their Model Validation function in London, reporting to the European Head of Quantitative Risk.

Key Responsibilities

The key responsibilities are:

  • Review / formal Validation of fixed income and equity pricing models
  • Review/formal validation of Risk models (VaR, Stress and CCR models) and Capital models
  • Inform and update on an on-going basis best practice development and evolving regulatory standards for Risk models
  • Present and defend validation work to key stake-holders in risk and other control functions.


Person Specification

The following skills and experience are required for this role:

  • Previous experience in Fixed income pricing model Validation / Development.
  • Masters/PHD in a numerical discipline, good command of quantitative finance and statistics
  • Effective communication skills; both verbal and written English; experience in writing model documentation or model review document
  • Good understanding of regulatory requirements for model risk management (SR11-7)
  • Experience in liaising with Trading & Risk departments
  • Knowledge of programming languages and statistical tools such as, C++, Python, R 

  Preferred skills:

  1. Experience in vendor models’ validation
  2. Use of Murex, RiskMetrics, Numerix