Description
C++ Quant/Quant developer/model validation SME. Following role:
- Review and validation of Front Office derivative pricing models, with a primary focus on interest rates models and more particularly on IBOR transition.
- Implementation of benchmark models (C++) and testing scripts (Haskell).
- Development of alternative models and methodologies in order to assess model risk.
- Proactively liaise with trading, Front Office quantitative analysts and developers, as well as market risk managers and valuation control analysts, to ensure efficient validations of new models and methodologies.
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