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Job Description Global investment bank seeks Associate / AVP level Quant analyst as part of its expanding Exotic Rates, Inflation & Hybrids Model Validation team. Seeking a strong background in derivative pricing and
Does complex modelling excite you? Are you an innovative thinker? We're looking for someone like that who can: * independently review rates, inflation, hybrid derivative models and products. * approve exotic rates and hybrid trade approval transactions. * contribute to the development of benchmark models in C++ in our in-house cutting edge library. * work on model suitability, calibration, speed and accuracy. * work closely with front office quants, market risk control, and trading.
Your team :
You'll be working in the Model Validation team focusing on interest rate, inflation, long dated FX and hybrid derivatives. The main objective of the team is the validation of the models used for valuation and management of the firm's trading positions from a model risk perspective.
Your expertise :
- ideally 1-3 years working experience in a similar quantitative role, however a PhD with a strong technical background without industrial experience will also be considered - MSc or PhD (preferred) in a quantitative discipline. - experience using C++ and Python. Implementing complex derivative models using Monte Carlo and/or partial differential equation techniques is an advantage. - excellent written and interpersonal communication skills - methodical, concise and accurate - motivated to drive strategic initiatives, while keeping a strong attention to details - able to apply technical understanding to practical problems - willing to collaborate and share knowledge with your team
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.