- Derivative instruments are widely used in the Bank’s businesses as part of the core trading activities or for risk management purposes. Derivative instruments make extensive use of models subject to validation by MRG.
- Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model’s prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics.
- MRG partners with Risk and Finance professionals and works closely with FO quants as well as traders. Team members have opportunities for exposure to a variety of business areas.
- Carry out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behaviour and suitability of pricing models/engines to particular products/structures;
- Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics.
- Liaise with FO quants, traders, Risk and Valuation Control Groups and provide guidance on model risk.
Essential skills, experience, and qualifications:
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
- Very strong analytical and problem solving abilities.
- PhD or equivalent degree in Math, Math Finance, Physics, Engineering, or Computer Science.
- C/C++ programming, Visual Basic.
- Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal).
- Team work oriented.
- Very good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives).
Desirable skills, experience, and qualifications:
- Trading desk support, model validation, or model design experience.
- Experience with Monte Carlo and numerical methods.
- Experience with exotic derivative pricing.
Experience, typically up to two years, for the Associate level position is desirable but not required. Candidates for the VP position will typically have two to four years of relevant quantitative finance research, risk analysis, or trading experience.
For further information please contact John Meadowcroft on 020 7780 6700. Alternatively forward your CV to John.Meadowcroft@AnsonMcCade.com