Rates – FX Hybrids Pricing Model Validation Quant AVP

Job title:

Company

Morgan McKinley

Job description

Model Validation as part of Model Risk Management is responsible for the review all derivative pricing models used for valuation and risk across the Bank. As a Quantitative Analyst you will be reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products.Your Key Responsibilities

Reviewing and analysing derivative models for price and risk of interest Rates, and Foreign Exchange (FX) products
Understanding of the mathematical models used, implementation methods, products traded, and the associated risks
Ensuring model/products are independently implemented in a managed C++ library
Fostering relationships with key model stakeholders including Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers
Supporting with the due diligence aspects of the New Product Approval Process and involvement in bank wide strategic initiatives

Your Skills And Experience

Educated to Bachelors degree level or equivalent qualification/relevant work experience, a Doctorate of Philosophy (PhD) qualification in a numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics would be beneficial
Demonstrable experience in a Model Validation or Front Office Quant role
Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms
Deep understanding of interest Rates and FX derivative models
Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience