Description
Quant Model Validation Expert/Analyst, C++ Derivatives Pricing Models.
- Experience in derivatives pricing models (ideally for interest rates derivatives) gained within a quantitative role either in Front Office or in model validation. 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,
- Strong analytical skills, with an academic background in Maths or Physics. In particular a strong knowledge of stochastic calculus, financial mathematics for derivatives pricing, and associated numerical methods.
- Sound judgement in assessing the strength and weaknesses of modelling approaches.
- Experience in developing projects in C++
- Strong communication skills. In particular strong writing skills with an ability to consistently produce precise, accurate and concise documentation
Superb opportunity within strong growing and successful team responsible for independently validating valuation models. Remote working/City firm.
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