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Model Validation Quant, Interest Rate Models, (VP) London or Singapore

Employer
Millar Associates
Location
London, United Kingdom
Salary
£160K Total + Benefits + 30 days vacation
Closing date
May 2, 2023

View more

Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Pricing Model Validation, Rates & Risk Models, C++

KEY RESPONSIBILITIES:
  • Review and validate front office derivative pricing models
  • Implement benchmark models in C++
  • Develop alternative models and methodologies to assess model risk
  • Day to day support with all model related questions
  • Management responsibilities

ESSENTIAL SKILLS & EXPERIENCE:
  • 5+ years experience implementing derivative valuation models in C++ (Front Office or Pricing Model Validation)
  • Good knowledge of one or more asset classes (Rates, FX preferred, but open to any)
  • Strong Financial Maths for derivatives pricing; Monte Carlo, PDEs and numerical integration
  • Good judgement in assessing the strengths and weaknesses of modelling approaches
  • Strong communication skills; fluency in written and spoken English
  • Minimum of Masters/PhD in a quantitative field (Physics, Maths, Engineering)

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