Description
Core responsibilities:- Carry out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures;
- Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics.
- Liaise with FO quants, traders, Risk and Valuation Control Groups and provide guidance on model risk.
- Carry out model risk management: duties include ongoing model performance review, following on required actions and limitation monitoring.
Essential skills, experience, and qualifications:
- Excellent experience in Copula and default correlation modeling, Base correlation skew modeling and mapping, and both reduced and structured default model;
- Excellent experience in CDSwaption and tranche option pricing;
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
- Very strong analytical and problem solving abilities.
- PhD or equivalent degree in Math, Math Finance, Physics, Engineering, Computer Science or Econometrics, and other quantitative disciplines.
- C/C++ programming, Visual Basic.
- Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal).
- Team work oriented.
- Desirable skills, experience, and qualifications:
- Trading desk support, model validation, or model design experience.
- Experience with Monte Carlo and numerical methods.
Additional information:
- 4+ years experience of relevant quantitative finance research or risk analysis. Top school candidate is preferred.
Please send an updated resume to Ciara O'Kane at Huxley