Global investment bank seeks AVP level Quant Analyst as part of their expanding Pricing Model Validation team.
The team is responsible for the quantitative review and challenge across pricing
models The overall scope of the IVU team covers the quantitative review and challenge of all models within the bank.
Overall purpose of role
The role holder will be primarily responsible for performing and documenting analysis and testing of pricing models.
The role holder will be responsible for performing and documenting analysis and testing of pricing models as well as performing and documenting reviews of other model types, including finance models, when required.
The role holder will be expected to assist in the timely delivery of valuation model uncertainty analysis for quarterly model risk reporting, when required.
The role holder will be expected to contribute toward the continuous improvement in efficiency and effectiveness of the processes that they are involved in.
Stakeholder Management and Leadership
The role holder will work predominantly with other members of the Validation team, and from time to time will be expected to collaborate with other model stakeholders such as Front Office, Quantitative Analytics, Market Risk, Counterparty Credit Risk, Line Product Control, Independent Valuation Control, and Regulatory Liaison.
The role holder will be expected to clearly and concisely communicate complex ideas and concepts to a range of audiences in a variety of circumstances.
The role holder will have a highly rational & logical thought process with a strong attention to detail.
The role holder will be expected to solve complex problems, both quantitative and qualitative in nature.
The ideal candidate will have a postgraduate level education in a quantitative discipline, for example mathematics, physics, engineering, quantitative finance.
The ideal candidate will have proven ability to understand several pricing modelling approaches and their strengths and weaknesses as well as performing and documenting quantitative testing and analyses.
The ideal candidate will have programming experience, for example VBA, C++.Python
The ideal candidate will have strong verbal and written communication skills and the ability to apply these skills to a range of audiences in a variety of circumstances.
The ideal candidate will be a team player with excellent communication skills who is comfortable working against tight short-term deadlines in a dynamic environment.
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.