This position is perfect for a Quant Analyst with experience in, and future desire to work on, Model Validation in the CCR space. The ideal candidate will have a strong numerical background, extensive experience in CCR and IMM modelling and sound judgement in assessing related strengths and weaknesses. This role offers unique insight of IMM framework for CCR models and the chance to validate pricing models as part of a highly experience team in a Tier 1 Bank.
Your key responsibilities will include:
- Reviewing and validating Counter-Party Credit Risk derivative pricing models.
- Focusing on OTC and ETD products, including components of IMM framework e.g. Back Testing, and the implementation of benchmark models in Python and C++.
- Developing alternative models/methodologies to assess model risk, writing of technical validation reports and effective liaising with other teams and stakeholders both internal and external.
Key skills/Competencies required:
- Strong mathematical background preferably evidenced by a related PhD with a focus on financial mathematics, derivative pricing, stochastic calculus and associated numerical methods e.g. Mote Carlo.
- Extensive experience in CCR and IMM modelling is essential.
- Sound judgement in assessing the strengths and weaknesses of different modelling approaches and experience of implementing large projects in Python, C++ or Haskell.
- Key soft skills include ability to work effectively in a team and strong writing and presenting skills.
If this looks like an opportunity which you feel you could be good for and are interested in applying please send you CV to jmasterman@astoncarter.com or call Jack Masterman on +442079977224 for more information
