To join a leading global investment bank based in London.

• Perform independent validation & approval of models.
• Provide effective challenge to model assumptions, mathematical formulation & implementation.
• Conduct annual review & validation of existing models.
• Assess & quantify the fixed income model risk from model limitations.

You:

• PhD ideally in quantitative field (physics/maths/computer science/financial engineering).
• A minimum of 2 yrs validation and/or front-line development of derivatives pricing models.
• Derivatives pricing skills (stochastic calculus, coding in VBA/Python).
• Theoretical understanding of interest-rate product pricing & mortgage-backed security models.

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