JOB DESCRIPTION

This leading global Investment Manager has a 11 strong team based across California and New York is looking to expand their team in California by 3 headcounts. They are looking for strong quantitative profiles, predominantly working on IR, IRD or Bonds but with other asset class exposure beneficial.

1. Validate models to detect, identify and quantify risks in the areas of marking-to-market and risk management of model intensive products. Perform product certification and approval of single trades. This involves, among others:
- Identifying inadequate models, i.e. mathematically correct models which are not applicable to the given product and / or market; proposing more adequate solutions.
- Identifying the use of mathematically flawed models, quantifying errors.
- Detecting misunderstood and/or understated risks.
- Highlighting the potential of use of wrong or inconsistent input values for parameters, which are not readily quoted in the market (e.g. skew or correlation).
- Reviewing new products with special emphasis on valuation and risk management.
- Identifying unnoticed market changes (e.g. new traded products) which affect current valuation / risk management methods.

2. Assist business unit control with the valuation of model-intensive trades and quantitative issues, in particular to specify valuation adjustments or model reserves intended to capture model or parameter uncertainty or other model deficiencies.

3. Perform general risk management functions in close cooperation with market risk including:
- Assessment of positions with significant model risk or non-standard risks (e.g. correlation risk or volatility skew risk)
- Business approvals for complex structures.
- Other day-to-day activities.

Required skills:

•             Educated to at least an MSc in mathematics, physics, engineering, or quantitative finance.

•             In possession of excellent analytical skills and knowledge of probability theory, stochastic calculus, Monte Carlo simulations and PDE techniques.

•             Able to work in autonomy.

•             Sound judgement in assessing strengths and weaknesses of modelling approaches.

•             Strong C++ programming skills.

•             Significant previous experience developing or validating derivative pricing models.

•             Good relational skills to communicate issues to the front-office and risk management.

Keywords: Interest rates, IR, IRD, Derivatives, Model Validation, Validating, Quantitative, Risk, USA, California, Bond, Bonds, Financial Engineer

Although preferable, we do not require a CV, please feel free to get in touch regarding this role to talk to a member of the team to discuss this role. For more current openings with our clients, please see www.g-q-r.com/vacancies

We Welcome speculative and tentative applications roles and others of a similar nature that we may have available on our books.

Applying: Quant-Jobs@globalquantrecruitment.com please reference job title

Contact Telephone Number: +44 (0) 203 207 9090
Linked In: http://www.linkedin.com/e/vgh/1615777