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Model Validation/Review, Quantitative Analytics., New York
- US - NewYork - New York
- Highly Competitive
- Full-Time Permanent
- Financial Services - Quantitative Analytics
- 01-10-08
Job Description
A top tier US hedge fund seeks experienced Model Validation Quantitative Analyst for senior role.
The successful candidate will be integrated in to the Global Analytics team in a senior position in Market Risk.
The team has general responsibility for testing and approving derivatives models across IR and FX, used on variety of flow exotics, Asian options, multi-ccy quanto products taken to market.
As an independent source of technical expertise, the team specializes in all aspects of quantitative analysis with particular emphasis on validation, independent development and implementation of mathematical models for pricing and risk management of complex exotic derivatives. The successful candidate would be working closely reporting into risk however will be exposed to more business orientated areas as well.
Overall purpose of role
Experienced quantitative analyst performing the core validation role in IR/FX derivatives
Main responsibilities
To test and review new and existing models for correct implementation
To examine suitability of the models for use in different contexts
To write model validation documentation
To develop the teams numerical tool kit
Qualifications
PhD in Mathematics/Physics/Engineering, ideally from a top three institution
Quantitative Finance experience- Solid experience working as a quant in IR/FX in either front office or validation role at major banks. End to end experience from development to validation is a must.
Familiarity with Murex and RiskMetrics
In depth mathematical knowledge- Calculus, Differential Equations, Stochastic calculus, Probability and statistics, Numerical methods, simulation, algorithms and optimization.
Solid computing credentials- Strong C++ numerical programming skill and coding experience
Standard MS Windows applications including VBA
Excellent problem solver and self starter
Well focused and dedicated to work long hours, if necessary.
Able to communicate with other business areas
Willing to mentor juniors
Please apply with CV to jobs@selbyjennings.com in Word format
www.selbyjennings.com
The successful candidate will be integrated in to the Global Analytics team in a senior position in Market Risk.
The team has general responsibility for testing and approving derivatives models across IR and FX, used on variety of flow exotics, Asian options, multi-ccy quanto products taken to market.
As an independent source of technical expertise, the team specializes in all aspects of quantitative analysis with particular emphasis on validation, independent development and implementation of mathematical models for pricing and risk management of complex exotic derivatives. The successful candidate would be working closely reporting into risk however will be exposed to more business orientated areas as well.
Overall purpose of role
Experienced quantitative analyst performing the core validation role in IR/FX derivatives
Main responsibilities
To test and review new and existing models for correct implementation
To examine suitability of the models for use in different contexts
To write model validation documentation
To develop the teams numerical tool kit
Qualifications
PhD in Mathematics/Physics/Engineering, ideally from a top three institution
Quantitative Finance experience- Solid experience working as a quant in IR/FX in either front office or validation role at major banks. End to end experience from development to validation is a must.
Familiarity with Murex and RiskMetrics
In depth mathematical knowledge- Calculus, Differential Equations, Stochastic calculus, Probability and statistics, Numerical methods, simulation, algorithms and optimization.
Solid computing credentials- Strong C++ numerical programming skill and coding experience
Standard MS Windows applications including VBA
Excellent problem solver and self starter
Well focused and dedicated to work long hours, if necessary.
Able to communicate with other business areas
Willing to mentor juniors
Please apply with CV to jobs@selbyjennings.com in Word format
www.selbyjennings.com
- The Team
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