Interest Rates - London, United Kingdom - eFinancialCareers

eFinancialCareers

Verified Company

London, United Kingdom

3 weeks ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

Job Summary

London
Permanent
JN

Jan 09, 202

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 ofinterest 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- 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

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