Rates – FX Hybrids Pricing Model Validation Quant AVP

Job title:

Rates – FX Hybrids Pricing Model Validation Quant AVP

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

Expected salary

Location

London

Job date

Sat, 08 Mar 2025 07:15:17 GMT

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