Rates Model Validation Quant Rates Model Validation Quant …

Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 19 Nov 20
Negotiable
Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 19 Nov 20
Negotiable
Our client is looking for a Junior Quant in the Model Validation team focusing on interest rate, inflation, long dated FX and hybrid derivatives. As part of Group Risk Control, the main objective of the team is the validation of the models used for valuation and management of the firm's trading positions from a model risk perspective.

Quant Analyst - Model Validation, Exotic Rates, Inflation & Hybrids

London based

Our client is looking for a Junior Quant in the Model Validation team focusing on interest rate, inflation, long dated FX and hybrid derivatives. As part of Group Risk Control, the main objective of the team is the validation of the models used for valuation and management of the firm's trading positions from a model risk perspective.

Responsibilities

  • Independently review rates, inflation, hybrid derivative models and products.
  • Approve exotic rates and hybrid trade approval transactions.
  • Contribute to the development of benchmark models in C++ in our in-house cutting edge library.
  • Work on model suitability, calibration, speed and accuracy.
  • Work closely with front office quants, market risk control, and trading.

Requirements

  • Ideally 1-3 years working experience in a similar quantitative role, however a PhD with a strong technical background without industrial experience will also be considered
  • MSc or PhD (preferred) in a quantitative discipline.
  • Experience using C++ and Python. Implementing complex derivative models using Monte Carlo and/or partial differential equation techniques is an advantage.
  • Excellent written and interpersonal communication skills
  • Methodical, concise and accurate
  • Motivated to drive strategic initiatives, while keeping a strong attention to details
  • Able to apply technical understanding to practical problems
  • Willing to collaborate and share knowledge with your team
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