Associate-VP Model Validation Quantitative Analyst (Tier-1)

Responsibilities:

Review new pricing codes, covering consistency checks, the verification of PnL explanations and validating the numerical methods used.
Perform independent validation and approval of models, including raising and managing model validation findings
Responsible for the validations for the asset-classes.
Validate the pre-existing developed quantitative models through developing alternative modelling tools that follow set objectives and documented approaches, bench-marking of results with the validated model, error tapping and recovery.
Independent model implementation works in existing FO library
Performing detailed quantitative analysis to assess model performance through analysing model outputs (bench-marking, sensitivity analysis, limiting case testing).
Communicating model review findings and recommendations to the front office traders, tech teams and model developers
Responsible for ongoing monitoring of internal models
Provide support to the risk management function for all quantitative issues on P&L, sensitivities & VAR, Stress-testing.

Qualifications

PhD or a Masters degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
Experience working in capital markets, focusing on model risk, validation, model development or testing pricing models and knowledge of financial products i.e. FX/FI/Cross-currency swaps.
Electronic trading development and/or validation
Algorithmic/quantitative/systematic trading strategies, hedge funds, credit risk management
Experience in dealing with exotic derivatives.
Deep knowledge of Credit derivatives pricing models.
Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques
Experience using Python, C++, Matlab, R, Quic, Summit and/or NumeriX.
Strong inter-personal and communication skills, with the ability to apply it to all levels and functions

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