Global investment bank seeks a VP level Interest Rates Modelling Quant.
Our client is seeking a strong modelling background in interest rate derivatives and hybrids and can validate term structure models for official valuation and risk managemen
* Validate models to detect and quantify risks
* Identify the use of mathematically flawed models, quantify errors, and propose alternative solutions
* Identify models which while being mathematically sound, are not applicable to the given product and/or market
* Highlight the potential of use of wrong or inconsistent input values for parameters, which are not readily quoted in the market (e.g., skew, correlation etc.)
* Perform product certification and approval of single trades and review new products with special emphasis on valuation and risk management
* Detect misunderstood and/or understated risks and identify unnoticed market changes (e.g. new traded products) which affect current valuation
Your team :
You be working in the Rates Models team in London, covering valuation models used for linear/nonlinear rates, inflation and hybrid derivatives. Cover all aspects of model validation, model-related issues in trade pre-approvals and reserves for interest rates, equities, commodities, foreign exchange, and credit derivatives products, assessment of the impact of models on valuation, market, and credit risks. Together with other teams, it also develops methodologies for aggregating market and credit risks, to provide bank-wide risk analysis for senior management.
* Previous experience in a similar role in an investment banks, such as model validation or front office roles
* Masters degree in a quantitative discipline (mathematics/physics) is a prerequisite. A PhD from a top tier institution is strongly preferred
* Knowledge of financial markets/products
* Familiarity with C++ and Visual Basic
* able to develop models in a timely manner, using innovation and common sense
* numerical with background in financial mathematics (complexity doesn't scare you)
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.