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
- Jun 17, 2023
View more
- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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Pricing Model Validation, Rates & Risk Models, C++
KEY RESPONSIBILITIES:
ESSENTIAL SKILLS & EXPERIENCE:
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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