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VP Algo-trading Model Validation

  • Job type: Permanent
  • Location: London
  • Salary: Negotiable
  • Job reference: 419693/001_1558026930
  • Sector: Selby Jennings, Quantitative Finance
  • Date posted: 16/05/2019

Responsibilities:

  • Contribute to, and expand on, the existing model validation structures of the new algorithmic and e-trading desks, one of the most exciting new desks in the quantitative world.

  • Opportunities to work with a range of Senior Quantitative Analyst throughout the bank, as well as having exposure to a broad variety of traders and different asset-types.

  • Construct and perform the tests required to thoroughly assess the strength, durability and performance of the algorithms, ensuring that new and changed algos will not have a negative impact on the clients and the bank.

  • Provide expert suggestions of supplementary risk measures and monitoring if necessary.

  • Also will be sporadically involved in the validation processes of other product lines within the model validation remit.

  • Work with, and provide support for, Risk Management by conducting risk assessments of the algorithms and challenge the monitoring methods proposed by FO.

Requirements for the role:

  • Education to degree level, although candidates with the requisite skillset will be considered

    • Experience on a pricing model validation team is necessary.

  • Experience with derivatives and pricing models; prior exposure to algorithmic trading/algo models/algo development is required.

  • Ability to work as part of a team, along with good communication skills, both verbal and written, is necessary.

  • Strict personal organisation and diligence, analytical/critical thinking and an ability to innovate in the face of new problems.

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