Seeking a Quantitative Analyst to join the Model Validation team within a leading global investment bank based in either London or New York City

To manage risk that arises from models used for derivatives valuation to models used for trading, risk management, liquidity & capital computations.

Assessing the risk associated with model choices.

• Perform independent validation & approval of models and manage the findings.
• Challenge model assumptions, mathematical formulation & implementation used by algorithmic trading models.
• Review the testing framework for algo-trading models.
• Assess the on-going performance monitoring of the algo-trading models.

You:

• MSc and /or PhD in quantitative field.
• Currently hold a quantitative role within algorithmic trading / algo-trading.
• A minimum of 2 yrs validation and/or front-line development of derivatives pricing models.
• Avid interest and knowledge of: time series analysis, probability theory, statistics, machine learning.
• Programming language skills (Python, R).

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