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Quantitative Analyst - Credit Model Validation

  • Job type: Permanent
  • Location: London
  • Salary: Competitive
  • Job reference: 415843/001_1555086042
  • Sector: Selby Jennings, Quantitative Finance
  • Date posted: 12/04/2019

A global investment bank is looking to hire a Credit pricing Model Validation Quantitative analyst to their desk in London. You would be involved in the validation of the models used by Front Office Credit trading desk, as well as the development of the framework utilised to carry out this validation, in order to ensure adequate pricing and risk management of credit related market risk. The role will offer broad Front Office exposure, most notably to the Credit desk, the opportunity to liaise with senior stakeholders and the chance to make use of technical development and mathematical skills.

Responsibilities will include:

  • Measurement and reporting of model risk including calculation of model reserves and valuation adjustments.

  • Validation of instrument pricing models though the analysis and evaluation of the underlying assumptions and mathematics of models developed by the front office or present in trading systems.

  • Testing the implementation of such models, usually through the development and implementation of independent benchmark models.

  • Preparation of analyses and regular reporting and calculation tasks.

Required skillset/experience:

  • A postgraduate degree in a relevant quantitative discipline.

  • Understanding of price modelling techniques for PnL and Risk.

  • Good interpersonal skills and ability to work effectively in a team environment.

  • Basic knowledge of Credit products - First knowledge of valuation models of financial products in general and models for credit derivatives in particular.

  • Some professional experience (1-5 years) in a relevant role would be advantageous, but fresh graduates will be considered.

  • Excellent IT ability - VBA, MS Office, Python, C++

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