10.21.16 / job2496 / Mission Staffing / Quantitative Consultant

New York, NY

Compensation: $150,000-$200,000 Depending on Experience

The qualified candidate should send their resume as a Microsoft Word or PDF attachment
to:
mcusack@missionstaffing.com

Our client, a global investment bank and institutional securities firm located in New York, NY, is
seeking a Quantitative Consultant to join their Model Validation team. This individual will be
conducting model validation of Equity Exotics and Derivatives, quantifying model risk and
reporting the findings.

Qualified candidates must have at least five years of pricing model validation experience, as
well as excellent coding skills, primarily in C++ and Python.


Primary Responsibilities:

The key responsibilities are:
•   Conduct model validation of relevant products as per policy. This entails theoretical review,
benchmarking, independent implementation (where necessary), quantifying model risk and
reporting of findings. The work requires close interaction and collaboration with traders and
quants.
•   Work with front office and market risk managers on trade/model approvals and finance on
price verification methodologies.
•   Understand local and global regulatory requirements and be aware of market environment /
practices that will impact assigned books/products.
•   Comply with Group Market Risk policies and risk management methodologies for existing
and new products.

Required Background:
The role requires excellent knowledge of FI&FX flow/exotic/hybrids products, modelling and
relevant coding skills. Knowledge /experience of XVA modelling and analytics would be an
added bonus.
In particular:
•   Experience of building or working with Bond Analytics, Curve building, single/multifactor rate
modelling with stochastic volatility, Multi-currency models, LSS algorithm.
•   Minimum 5 years’ experience in a Model Validation or Front Office Quant role.
•   Excellent mathematical ability with an understanding of Stochastic Calculus, Partial
Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical
Algorithms.
•   Excellent coding skills C++ (ideally with python for rapid prototyping).
•   Excellent communication skills.