Interest Rate Model Validation Quant (AVP), London

London
Ref: IRMV-1203
Highly Competitive Salary Package
Leading Global Investment Bank
Rates, Curves, IBOR, Flow & Exotics, e-Trading

This Global Investment Bank seeks to recruit an Interest Rate Quant to join its Model Validation team in London. Covering the global business, you will review derivative pricing models used by front office and provide assistance on all model related issues. This is an excellent opportunity to join a growing firm working on state of the art models!

KEY RESPONSIBILITIES:

  • Validate and Review Front office interest rate derivative pricing models.
  • Implement benchmark models (C++) and testing scripts
  • Develop alternative models / methods to assess model risk.
  • Liaise across trading, quant research, quant development and market risk to deliver timely Validations of new models and methods.

ESSENTIAL SKILLS & EXPERIENCE:

  • 3yrs working in a quantitative role (front office or model val) ideally in Interest Rate derivatives but we’ll also consider a Credit or FX derivatives background
  • Good knowledge of Financial Mathematics for derivatives pricing, and associated numerical methods (Monte Carlo, PDE, numerical integration…)
  • Solid understanding of current modelling techniques in at least one asset class (ideally interest rates)
  • Hands-on experience implementing derivatives pricing models in C++ (either Front Office or Model Validation)
  • Minimum of Masters (PhD welcomed) in quantitative discipline
  • Ability to liaise effectively with front office traders and quants
  • Strong communication skills