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Vice President Quantitative Analyst

London, United Kingdom
Closing date
Nov 28, 2023

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Job Function
Industry Sector
Finance - General
Employment Type
Full Time
  • 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

  • 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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