Vice President - Rates Pricing Model Validation

The candidate must have experience in the following areas :

1. Model validation of Front-Office pricing models for Fixed Income, with focus on Interest Rates, Inflation and Emerging Markets; testing and documentation following the model validation guidelines of SR11-7.

2. Timely delivery of model reviews with effective challenge to Front-Office and escalation of identified issues.

3. Independent model development, building up our modeling framework and Model Validation library.

4. Review of New Products: conducting analysis for Pre-Trade Approvals.

You Offer

Relevant past experience in Model Validation, Front Office Quantitative Analysis or Quantitative Risk Management, ideally with focus on yield curve models, interest rate exotics and/or inflation models. Good knowledge of derivatives pricing models, stochastic calculus, numerical algorithms and products. Ideally educated to PhD or Master level in a quantitative topic. Experience with a relevant programming language: C++, F#, R or Python