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Model Validation - Credit/Equity Products, VP

  • Job type: Permanent
  • Location: New York
  • Salary: Competitive
  • Job reference: mvcepvp
  • Sector: Banking and Finance, Quantitative Finance, Risk Management, Selby Jennings
  • Date posted: 16/04/2018
Premier Investment bank which is leading the charge from a cloud-computing & machine learning perspective is growing its Model Validation team which focuses on credit and equity derivatives and products. While other firms have shrunk their credit derivatives portfolios, the firm has continued to invest heavily in the space.
 
The team is responsible for model validation and review of credit derivative pricing models. They also review equity products. The coverage includes CDOs, CLOs, CDS, and Corp Bonds. They are seeking a quantitative individual within model risk with competency in the stochastic process and derivative pricing models. Credit derivatives experience is ideal but the team is open to other asset classes. You will be expected to liaison with developers and build challenger models as needed. A background in Python or C++ is preferred.

Responsibilities
  • Conduct model validation and review of Credit Derivatives
  • Improve on existing models and ensure compliance with regulatory initiatives and other risk management stakeholders
  • Benchmark and build challenger models in Python, C/C++, etc.
  • Work closely with Front Office and model validation teams such as Market Risk Capital

Requirements
  • Ph.D. or M.S. in a quantitative discipline (mathematics, finance, physics, engineering, etc.)
  • Experience in a model development or quantitative model validation function
  • Experience with credit derivatives and products strongly preferred, other asset classes accepted
  • Skill-set in the stochastic process
  • Technical expertise in C++ or Python, machine learning experience is a plus
  • Excellent verbal and written communications
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