Model Risk/ Pricing Model Validation Quant Analyst - Equities - London, United Kingdom,

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Model Risk/ Pricing Model Validation Quant Analyst - Equities

My client, a top tier investment bank with a global presence, has an opening within their Pricing Model Validation team which focuses on FX Derivatives. The objective of the group is to work closely with Front Office Quants, Market Risk Control, Sales and Trading in order to validate the pricing models used for valuation and management of the firm's trading positions from a market perspective. This role is for a senior associate to senior VP position, looking for people with over 3 years of experience within pricing model validation.

Key Responsibilities:

• Lead the development of benchmark models in C++ in the in-house cutting edge library, potentially across asset classes.

• Independently review exotic foreign exchange derivative models.

• Approve exotic transactions and model reserve methodologies.

• Provide expertise on model suitability, calibration, speed and accuracy.

• Represent the team at internal meetings.

• Work closely with Front Office Quants, Market Risk Control, and Trading.

Requirements:

  • 5+ years working experience in a similar quantitative role, within FX derivatives product/model knowledge.
  • MSc or PhD in a quantitative discipline.
  • Proficiency using C++ and Python and experience in implementing complex derivative models using Monte Carlo and/or partial differential equation techniques.
  • Excellent written and interpersonal communication skills.
  • Methodical, concise and accurate.
  • Motivated to drive strategical 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.

If this role matches your experience, please apply, or feel free to get in touch with myself at

PLEASE DO NOT APPLY IF YOU HAVE NOT BEEN WORKING ON PRICING MODEL VALIDATION FOR FRONT OFFICE DERIVATIVES.