Model Validation Quant for Rates & Inflation

London
Ref: MVRFX-2305
Excellent Salary & Bonus at this Top-tier Institution
Top-tier Investment Bank
Model Risk Analytics for Interest Rate Products

The Model Validation team at this top-tier investment bank validates and implements into libraries Rates & Long-dated FX Derivatives models in close coordination with Front Office trading.

They seek someone with very good communication skills, able liaise with stakeholders across the bank. Derivatives include: Rates, Inflation (nice to have) & some long dated FX.

KEY RESPONSIBILITIES:

  • Independently review models for price and risk of Rates products
  • Implement models into a library in Python or similar
  • Discuss model reviews with Trading, Front Office Quants and Market Risk Managers
  • Provide advice and due diligence for new product approval.
  • Develop a deep understanding of the mathematical models used, implementation methods, and trading risks

ESSENTIAL SKILLS:

  • PhD/MSc in scientific subject or equivalent
  • 3-7 years' experience in a Mod Val, Front Office Quant or Risk Quant role
  • Understanding of Interest rate pricing models and model fitting
  • Python coding or similar
  • Stoch Calculus, PDEs, Monte-Carlo, Finite Difference Methods, Numerical Algorithms.
  • Succinctly to communicate complex information
  • Able to broaden into “Model Risk” and conduct “deep-dive” analysis into complex trades