Our client, a leading Investment Bank, seeks to recruit a senior (VP) Quant Analyst to join its model risk department to play a lead role across Credit & XVA. Based in London, you will work on the validation of derivatives pricing models and assessment of all associated model risk. This is an excellent leadership opportunity to work on cutting edge models in a highly quantitative global environment.
- Review and validation of SIMM models, VaR models, & Derivatives Pricing Models
- Independent Implementation of benchmark models (C++)
- Development of alternative models/methodologies for model risk
- Day to day support of stakeholders in all model related questions
- Liaise with front office and model developers to drive validation/review of models & methodologies
SKILLS & EXPERIENCE:
- Masters (ideally PhD) educated in a quantitative field (Physics, Maths, Engineering)
- Strong knowledge of mathematics and stochastic calculus.
- Sound judgement in assessing the strength and weaknesses of modelling approaches.
- Experience in Model Val or model development for SIMM, Derivaitives Pricing Models, and/or VaR.
- Knowledge of the current overall Regulatory environment
- Solid experience of implementing derivative valuation models in C++ in either a Front Office or Model Validation environment gained at a large bank or an Exchange
- Strong communication skills (English) both written & verbal