Model Validation Specialist
3 weeks ago
Alexander Ash is hiring on behalf of a leading global investment bank in the UK for a Model Validation Specialist (Quantitative Analyst) role. In this position, you will join a dedicated team responsible for validating pricing models used by the investment banking trading desk across all asset classes. In addition, the team is responsible for validating other models, like Reserve Methodologies, Fair Valuation Adjustments, the Liquidity Reserve Modelling etc.
Your Responsibilities:
- Review and analyse mathematical assumptions of models used in Pricing Interest Rate Derivatives.
- Review implementation methods, products traded in the IR markets, and the associated risks.
- Responsible, where appropriate, for the review of models/payoffs of products independently implemented in a managed library.
- The outcome of review, analysis and independent implementation forms the basis of discussion with key model stakeholders including Front Office Trading; Front Office Quants; Market Risk Managers.
- Additional responsibilities include active engagement with the due diligence aspects of the New Product Approval Process and involvement in bank wide strategic initiatives.
Key skills and experience:
- A Doctor of Philosophy (PhD) qualification in numerate subject such as Mathematics, Financial Mathematics, Physics, or Statistics would be beneficial
- 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 derivative models
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