A leading Investment Bank in New York is proactively looking to recruit a pricing model validation quant. Those successful, will be working with the front office quants focusing on model analytics for valuation, risk and stress testing and is responsible for validation of all derivative risk models across the Bank.
Location: New York, United States
The role will be a focused on a comprehensive review of FIC valuation models used in the firm for valuation, stresst testing, risk methodologies, & benchmarking risk management.
Senior development of front office derivative pricing models
Review of implementation
Benchmarking these models by implementing both cash flow projection models and stochastic models
Model Validation risk analysis - Communicating clearly with rest of the team & senior managment
Ensure correct and robust implementation of the models
Confident with various numerical methods to quantify PV & risks of a transaction (analytical, monte-carlo)
Understand the basic regulatory framework, risk management & modelling
Essential: ● A minimum of 5+ years working experience in a quantitative or model validation environment ● PhD/Msc/DEA in a quantitative discipline ● Established modelling, risk management, pricing experience ● Proficiency in C++ (Python also desirable) ● Excellent English verbal and written communication and interpersonal skills