Model Validation Quant, Interest Rate Models, (VP) London or Singapore

Our client, a Global Investment Bank, seeks to recruit an experienced Quant Analyst, from any asset class, with strong C++ programming skills.  Reporting to the Head of IR and Inflation Model Validation and based in Based in London (preferred) or Singapore, you will work on the validation of derivatives pricing models and assessment of the associated model risk. This is an excellent opportunity to provide leadership and to work closely with the front of a leading banking group.

KEY RESPONSIBILITIES:

• Review and validate front office derivative pricing models
• Implement benchmark models in C++
• Develop alternative models and methodologies to assess model risk
• Day to day support with all model related questions
• Management responsibilities

ESSENTIAL SKILLS & EXPERIENCE:

• 5+ years experience implementing derivative valuation models in C++ (Front Office or Pricing Model Validation)
• Good knowledge of one or more asset classes (Rates, FX preferred, but open to any)
• Strong Financial Maths for derivatives pricing; Monte Carlo, PDEs and numerical integration
• Good judgement in assessing the strengths and weaknesses of modelling approaches
• Strong communication skills; fluency in written and spoken English
• Minimum of Masters in a quantitative field (Physics, Maths, Engineering)