Vice President Quantitative Analyst

Responsibilities:

Perform independent validation and approval of models, including raising and managing model validation findings
Conduct annual review and revalidation of existing models
Provide effective challenge to model assumptions, mathematical formulation, and implementation
Assess and quantify the fixed income model risk arising from model limitations to inform stakeholders of their risk profile and development of compensating controls
Contribute to strategic, cross-functional initiatives within the model risk team
Oversee ongoing model performance monitoring including benchmarking, process verification and outcome analysis performed by model developers
Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management

Requirements:

MSc or preferably PhD in a quantitative field (physics, mathematics, computer science, financial engineering, etc.)
Experience (at least 5 years) of validation and/or front-line development of derivatives pricing models at a leading financial institution
Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in VBA/Python), ideally including a solid theoretical understanding of interest-rate product pricing models
Strong communication skills with the ability to find practical solutions to challenging problems
Teamwork and commitment a must

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