Model Validation Quant for Credit Derivatives (VP)

Company Millar Associates Location UK-London Remuneration Package to £220K + benefits Position Type Permanent Employment type Full time Updated 03-Nov-2013 eFC Ref no 1244116 Save this job Send to friend Print this job More Sharing ServicesShare The Model Validation team at this top-tier investment bank validates and implements into libraries Credit Derivatives models in close coordination with Front Office trading. They seek someone with good communication skills, able liaise with stakeholders across the bank. Derivatives include: CDOs, Nth-to-default, CDS, IndexOptions, etc. KEY RESPONSIBILITIES: Independently review models for price and risk of Credit products Implemented models into an independant C++ library Discuss the results of reviews and implementations with Trading, Front Office Quants and Market Risk Managers Provide advice and due diligence for new product approval. Develop a deep understanding of the mathematical models used, implementation methods, and the trading risks ESSENTIAL SKILLS: PhD in scientific subject or a quantitative MSc / DEA Experience in a Model Validation or a Front Office Quant role. Model experience for: CDOs, Nth-to-default, CDS, IndexOptions, etc. and model fitting Strong C++ coding abilities into a managed model library Stochastic Calculus, PDEs, Monte-Carlo, Finite Difference Methods, and Numerical Algorithms. Excellent communication skills are very important – both written and oral Apply online