Description
Senior Programme Manager - Pricing Model Validation.Senior Programme Manager - Pricing Model Validation.
The successful candidate would have been working in a challenging Quantitative environment (model validation or Front office) having covered Interest rates and FX asset classes. I would expect the candidate to have a strong mathematical background and IT skills.
This role is based in the City of London and is paying up to £900 per day for the right candidate. I require someone to start immediately so please bear this in mind when applying for the role.
The successful candidate MUST have:
- Practical validation experience of risk models or/and pricing models.
- Practical experience of working with other colleagues as a team.
- Knowledge of financial technology for the above models.
- Advanced quantitative skills supported by a degree in Maths.
- Programming skills (C / C++/VBA etc.)
- Pricing and validating models with a specific focus on FX and interest rates.
- Using C++ to code, test, back test and validate all models.
- Developing of pricing models for the trading book in an Independent library.
- Building and design a library framework for validation.
- Designing and building benchmark models.
- Extremely high C++ coding skills.
- Come from a quantitative background.
- Experience in pricing and derivatives and hands on exposure to FX and interest rates.
- Strong stochastic calculus skills.
- Familiar with interest rates and FX exotic modelling, and a strong knowledge of multi curve modelling.
- Documentation according to the governance policy of the model risk reserves/ratings and PVA.
If you are interested in knowing more about this role or you would like to put yourself forward for the position, Please contact Nish Vipani on today.