AVP - Model Validation Quant - Investment Banking

AVP - Model Validation Quant

Job Description :

- The Pricing Model Validation team within Investment Banking Risk Management Department is responsible for managing the risk from the use of Pricing Models in the valuation and hedging of traded derivatives.

- The vacancy is for an AVP model validation quant working on models for credit derivatives and CVA.

What the role Offers :

- Reviewing and testing of front office pricing models for credit derivatives, CVA valuations, and other counterparty default related valuations.

- Clear documentation of all testing, with follow ups for identified modelling issues

- Development of independent models, from mathematical concepts to implementing using common library

- Engagement on modelling issues with risk managers, product control, front-office quants and traders.

- The successful candidate will be trained in the mathematical background of derivatives pricing, and in the use of pricing systems within the bank, and then supported in the testing of front-office pricing models and development of independent models.