Interest Rates

4 weeks ago


London, United Kingdom eFinancialCareers Full time

Job Summary
- London
- Permanent
- JN -012023-1908014
- Jan 09, 2023
- Competitive

**Job Description**:
Global investment bank seeks an AVP level Quant Analyst as part of its expanding Interest Rates/FX Derivatives Pricing Model Validation division.
Model Validation as part of Model Risk Management is responsible for the review all derivative pricing models used for valuation and risk across the Bank. As a Quantitative Analyst you will be reviewing and analysing derivative models for price and risk ofinterest Rates, and Foreign Exchange (FX) products.
**Your key responsibilities**
- Reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products
- Understanding of the mathematical models used, implementation methods, products traded, and the associated risks
- Ensuring model/products are independently implemented in a managed C++ library
- Fostering relationships with key model stakeholders including Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers
- Supporting with the due diligence aspects of the New Product Approval Process and involvement in bank wide strategic initiatives

**Your skills and experience**- Demonstrable experience in a Model Validation or Front Office Quant role
- Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms
- Deep understanding of interest Rates and FX derivative models
- Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience

**How we'll support you**
- Training and development to help you excel in your career
- Flexible working to assist you balance your personal priorities
- Coaching and support from experts in your team
- A culture of continuous learning to aid progression
- A range of flexible benefits that you can tailor to suit your needs

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.



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