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Are you an expert in interest rate derivatives and hybrids? Do you know how to validate term structure models for official valuation and risk management? My client are looking for someone like that to:
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.
You'll be working in the Rates Valuations Models team in London, covering valuation models used for linear/nonlinear rates, inflation and hybrid derivatives. They 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 bank, such as model validation or front office.
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).
To apply, send CVs to Bradley Caton-Garrett at firstname.lastname@example.org