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DATE ADDED: Fri 07/02/2020

Senior Quant, SIMM Model Validation (VP), London

London, UK
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COMPANY: MILLAR ASSOCIATES

JOB TYPE: Permanent, FullTime

SALARY: £££ Highly Competitive Salary Package

KEY RESPONSIBILITIES:

  • Review and validation of SIMM models, VaR models, & Derivatives Pricing Models
  • Independent Implementation of benchmark models (C++)
  • Development of alternative models/methodologies for model risk
  • Day to day support of stakeholders in all model related questions
  • Liaise with front office and model developers to drive validation/review of models & methodologies

SKILLS & EXPERIENCE:

  • Masters (ideally PhD) educated in a quantitative field (Physics, Maths, Engineering)
  • Strong knowledge of mathematics and stochastic calculus.
  • Sound judgement in assessing the strength and weaknesses of modelling approaches.
  • Experience in Model Val or model development for SIMM, Derivaitives Pricing Models, and/or VaR.
  • Knowledge of the current overall Regulatory environment
  • Solid experience of implementing derivative valuation models in C++ in either a Front Office or Model Validation environment gained at a large bank or an Exchange
  • Strong communication skills (English) both written & verbal
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