Interest Rates / FX Pricing Model Validation Quant - AVP

Recruiter
Morgan McKinley
Location
London, United Kingdom
Salary
Competitive
Posted
16 Jan 2023
Closes
31 Jan 2023
Ref
18474966
Job Function
Compliance/Regulatory
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Job Summary
  • London
  • Permanent
  • JN -012023-1908014
  • Jan 09, 2023
  • Competitive

Job Description
Global investment bank seeks an AVP level Quant Analyst as part of its expanding Interest Rates/FX Derivatives Pricing Model Validation division.

Model Validation as part of Model Risk Management is responsible for the review all derivative pricing models used for valuation and risk across the Bank. As a Quantitative Analyst you will be reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products.

Your key responsibilities

  • Reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products
  • Understanding of the mathematical models used, implementation methods, products traded, and the associated risks
  • Ensuring model/products are independently implemented in a managed C++ library
  • Fostering relationships with key model stakeholders including Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers
  • Supporting with the due diligence aspects of the New Product Approval Process and involvement in bank wide strategic initiatives


Your skills and experience

  • Educated to Bachelors degree level or equivalent qualification/relevant work experience, a Doctorate of Philosophy (PhD) qualification in a numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics would be beneficial
  • Demonstrable experience in a Model Validation or Front Office Quant role
  • Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms
  • Deep understanding of interest Rates and FX derivative models
  • Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience


How we'll support you

  • Training and development to help you excel in your career
  • Flexible working to assist you balance your personal priorities
  • Coaching and support from experts in your team
  • A culture of continuous learning to aid progression
  • A range of flexible benefits that you can tailor to suit your needs

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.
  • You need to sign in to save