Senior Quant - Equities Model Validation
Location New York
Consultant Phirada Hemtasilpa
Date posted September 30, 2016
A global investment bank is seeking a VP/SVP level Quantitative Analyst to join their Model Validation function within Risk Management. This is an excellent opportunity to join a growing team and gain unique exposure to quantitative models across Pricing and Risk.
- Conduct model validation of relevant products. This entails theoretical review, benchmarking, independent implementation, quantifying model risk and reporting of findings
- Able to interact and collaborate with traders and quants
- Work with front office and market risk managers on trade/model approvals and finance on price verification methodologies
- Understand local and global regulatory requirements and be aware of market environment / practices that will impact assigned books/products
- Comply with Group Market Risk policies and risk management methodologies for existing and new products
- Excellent product knowledge (Equity derivatives, structured products and hybrids), modeling and coding skills
- Experience of building local & stochastic volatility models for structured equity products & Hybrids
- At least 5 years’ 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
- Solid coding skills C++ and python
About the Organization:
The company provides a full range of investment banking, sales, trading, research and strategy across the spectrum of equities, fixed income, foreign exchange, futures and commodities, and also globally select asset and wealth management strategies.
Apply online today.