Associate-vp Model Validation Quantitative Analyst
2 weeks ago
**Responsibilities**:
- Review new pricing codes, covering consistency checks, the verification of PnL explanations and validating the numerical methods used.
- Perform independent validation and approval of models, including raising and managing model validation findings
- Responsible for the validations for the asset-classes.
- Validate the pre-existing developed quantitative models through developing alternative modelling tools that follow set objectives and documented approaches, bench-marking of results with the validated model, error tapping and recovery.
- Independent model implementation works in existing FO library
- Performing detailed quantitative analysis to assess model performance through analysing model outputs (bench-marking, sensitivity analysis, limiting case testing).
- Communicating model review findings and recommendations to the front office traders, tech teams and model developers
- Responsible for ongoing monitoring of internal models
- Provide support to the risk management function for all quantitative issues on P&L, sensitivities & VAR, Stress-testing.
**Qualifications**
- PhD or a Masters degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
- Experience working in capital markets, focusing on model risk, validation, model development or testing pricing models and knowledge of financial products i.e. FX/FI/Cross-currency swaps.
- Electronic trading development and/or validation
- Algorithmic/quantitative/systematic trading strategies, hedge funds, credit risk management
- Experience in dealing with exotic derivatives.
- Deep knowledge of Credit derivatives pricing models.
- Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques
- Experience using Python, C++, Matlab, R, Quic, Summit and/or NumeriX.
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