Model Validation (Pricing and Risk) - Associate/VP

  • Negotiable
  • Londres, Angleterre, Royaume-Uni
  • CDI, Plein-temps
  • Robert Walters UK
  • 13 nov. 17 2017-11-13

Several exciting new roles for either Vice President or Associate level quantitative candidates have become available in global investment banks in London. These roles are to work in front office pricing model validation teams. All roles are predominalty covering interest rate pricing models with some available for structured credit. Candidates must have had exposure to model development, implementation or validation of pricing models and be proficient with C++ coding.

Key Responsibilities:

  • Review and validation of front office derivative pricing models
  • Implementation of benchmark derivative pricing tools and models (C++).
  • Development of alternative models and methodologies in order to assess model risk.
  • Assess the suitability of the mathematical modelling
  • Apply quantitative methods for credit, fixed income and hybrid derivatives
  • Have the ability and seek to identify the major model assumptions for a chosen approach, their limitations, risks and mitigating factors. Carry out initial and ongoing reviews of these assumptions.
  • Develop benchmark models in the model validation library
  • Apply various numerical methods to quantify PV and risks of a product (e.g. analytical, Monte-Carlo, PDE)

Candidates with the following should apply:

  • Exposure to at least one of the following products pricing methodologies/models: credit, hybrid derivatives, CVA and interest rates.
  • Advanced programming skills in C++ using object oriented software design
  • A higher degree (MSc, PhD, DEA) in a highly numerical subject such as mathematics, engineering or physics. A PhD is preferred. Candidates with educational backgrounds in less technical subjects such as economics, banking or finance will not be considered.
  • Previous experience in either a model validation role or front office quant team.
  • Strong knowledge of mathematics, stochastic calculus, and numerical computing.
  • A good understanding of derivative pricing principles and models and numerical pricing methods (e.g. Monte Carlo, PDEs, and numerical integration)
  • Sound judgement in assessing the strength and weaknesses of modelling approaches.

If you would like to discuss this role further please speak to Harriet King via 020750982588 or harriet.king@robertwalters.com.