Quant Model Validation SME Expert/Analyst, Derivatives Pricing Models,

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Scope AT Limited
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flag_no United Kingdom
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Derivatives Pricing Quant required with relevant experience in Front Office and model validation. Quant Model Validation SME Expert/Analyst, Derivatives Pricing Models, C++


  • 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 .
  • 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.

Superb opportunity within strong growing and successful team responsible for independently validating valuation models. Remote working/City firm.

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