Job Vacancy Details
VP Quantitative Model Validation
Investment Bank
City of London
Permanent
Updated August 11, 2008
The majority of the team's work is project based. Due to the diversity and volume of the bank's trading activities, team members always work simultaneously on a variety of short, medium and long term projects. These projects range from urgent risk analysis for complex one-off complex trades, to long term research into the limitations of existing and new models from a valuation and hedge performance perspective. The team is global, cross all asset classes. While team members will typically specialize in a certain market to gain the required depth of knowledge and form deep relationships with senior traders and quant's, candidates are expected to exhibit the intellectual desire to constantly expand their knowledge by taking on projects outside their area of specialism.
The team are encouraged to form partnerships with front office quant's, in particular, front office trading/risk management to find solutions to complex risk management challenges as market challenges require. Coverage of all businesses and locations give the group the opportunity to identify best practices as well as model / risk inconsistencies and advise front office,the Risk management Committee and Business Units on necessary improvements.
Who we're looking for
Exceptional mathematical skills. Expert in derivatives pricing, financial calculus, stochastic processes, statistical analysis. Deep knowledge of at least one of complex credit correlation, complex equity or interest rate exotics markets. Experience of programming.
Real market experience, perhaps through trading, portfolio management etc., would be an advantage.
PhD in a quantitative discipline which involved analysis of large data samples is required.
About our client
Leading Investment Bank based in the City of London
What's on offer
Competitive package
Michael Page Contact
For further info, apply or phone on 020 7645 1423.
Job Ref: 12950068
Your application will be sent to Andrew Gibson.
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