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Model Validation Manager- Capital Markets (IR/FI)

  • Job type: Permanent
  • Location: District of Columbia
  • Salary: $150000 - $180000 per annum
  • Job reference: oihjlkg
  • Sector: Banking and Finance, Quantitative Finance, Selby Jennings
  • Date posted: 08/01/2018
Currently working with a top international bank based in Manhattan. They are looking to build out the Capital Markets team with a key hire on the quantitative side. You will need strong communication skills and be experienced with Interest rates and Fixed Income. 

Responsibilities:
Leading model validation projects in capital markets, assessing the methodologies and processes used in model development, evaluating the model performance and, wherever applicable, developing benchmarking models
Solving business problems with limited data and making conclusions with analytical justifications
Providing constructive and actionable solutions to model issues identified
Independently research, identify and prototype industry best modeling practices
Communicating validation results to management, model owners, regulators, and auditors
 
Basic Qualifications:
Master’s degree
3 years in no-arbitrage pricing, interest rate modeling or fixed income modeling
At least 1 year of experience programming in C, C#, C++, Python, R or MATLAB

Preferred Qualifications:
Doctorate in quantitative fields
5+ years in no-arbitrage pricing and interest rate modeling
5+ years in fixed income analysis and/or hedging
Hands on experience with Polypaths, Murex, Calypso, QRM, Intex or Trepp
Direct work experience with Option Adjusted Spread (OAS) methodologies and Monte Carlo simulation
Skilled programming in Python, R or other open-sourced languages
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