Responsibilities:
- Review new pricing codes, covering consistency checks, the verification of PnL explanations and validating the numerical methods used.
- Responsible for the validations for the Credit and XVA (CVA, DVA, FVA, IMVA)
- Validate the pre-existing developed quantitative models through developing alternative modelling tools that follow set objectives and documented approaches, benchmarking of results with the validated model, error tapping and recovery.
- Independent model implementation works in existing FO library
- Performing detailed quantitative analysis to assess model performance through analysing model outputs (benchmarking, sensitivity analysis, limiting case testing).
- Communicating model review findings and recommendations to the front office traders, tech teams and model developers
- Responsible for ongoing monitoring of internal models
- Provide support to the risk management function for all quantitative issues on P&L, sensitivities & VAR, Stress-testing.
Qualifications
- PhD or a Masters degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
- Experience working in capital markets, focussing on model risk, validation, model development or testing pricing models and knowledge of financial products i.e. FX/FI/Cross-currency swaps.
- Experience in dealing with exotic derivatives.
- Deep knowledge of Credit derivatives pricing models.
- Good knowledge of Credit, CVA, DVA, and FVA pricing methods
- Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques
- Strong analytical and problem-solving skills.
- Experience using Python, C++, Matlab, R, Quic, Summit and/or NumeriX.
- Strong inter-personal and communication skills, with the ability to apply it to all levels and functions.
