Executive Director - Derivatives Pricing & Model Validation - Bank

ED - Derivatives Pricing & Model Validation for a unit that oversees model risk - Bank

Role Summary

- Manage Derivative pricing models

- Carry out a portfolio of model reviews (e.g. pricing engines, products, reserve methodologies) in a trading asset class / product area

- Communicate review needs and findings to FO quants, traders, Risk and Valuation Control Groups

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (i.e. quantitative models for pricing and hedging derivatives)

REQUIRED SKILLS / EXPERIENCE - 

- Extensive model development (e.g. model design, model implementation, desk support) experience at Financial Firm with top 10 ranking in Tier 1 hybrid/exotic derivatives products

- Experience with Monte Carlo and numerical methods

- C/C++ programming, Python, Visual Basic

- PhD or equivalent