Cross Asset Model Validation Quant

Cross Asset Model Validation Quant – Contract 1Y

£900pd or £120k pa

Quant Capital is urgently looking for a Model Validation Quant to join our high profile client.

Our client is a well known tier 1 bank based in the city.

The role is as a Quantitative Analyst to independently review, analyse and test derivative models for pricing and risk management of products across all asset classes.

Our Tier 1 Investment Banking client is currently seeking a Quantitative Analyst to join their Model Validation team, validating models across all asset classes for pricing and risk.

Day to Day the Quantitative Analyst will:

• Review and analyse models using deep understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks that are inherent from trading these products.
• Development of independent validation models on mostly linear credit trading products and Interest Rate Derivatives
• Liaise with Front and Middle Office representatives
• The role is as a Quantitative Analyst to independently review, analyse and test derivative models for pricing and risk management of products across all asset classes.
• Additional responsibilities will include active engagement with and oversight responsibility for the due diligence aspects of the New Product Approval Process and model governance.

Model Validation Quants Must Have

• PhD or MSc qualification in numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics.
• 4 Years experience in a Model Validation or Front Office Quant role or other relevant quantitative finance role.
• Interest Rate experience (may not be derivs)
• Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
• Experience in coding in C++ or R potentially C
• Previous experience of regulatory interaction and familiarity with the broader industry and regulatory environment a distinct advantage.

This team is a business driven by technology and trading, all of their models and investment decisions are computer based most of them trading automatically. If you are looking into a further career in finance this is the ideal opportunity.

My client is based in London

Quant, Quantitative, IRD, Interest Rates, Rates, Derivatives, Model Validation, Market Risk