Cross Asset Model Validation Quant – Contract 1Y

Overview

In this role you will independently review, analyse and test derivative models used for pricing and risk across asset classes. You will develop independent validation models for linear credit trading products and interest rate derivatives, and liaison with Front and Middle Office teams. You’ll contribute to model governance through due diligence in the New Product Approval Process, under a technology‑driven, trading‑intensive environment. This is an opportunity to impact pricing accuracy, risk controls, and regulatory readiness at a tier 1 bank based in London.

Responsibilities

• Review and analyse derivative models for pricing and risk
• Develop validation models for linear credit trading products and Interest Rate Derivatives
• Liaise with Front and Middle Office representatives
• Participate in due diligence for New Product Approval Process and model governance

Key requirements

• PhD or MSc in a numerate subject
• 4 years of experience in model validation or front office quant role
• Experience in Interest Rate products
• Strong mathematical foundation (stochastic calculus, PDEs, Monte Carlo, finite difference methods)
• Proficiency in C++ or R (potentially C)
• Regulatory interaction experience is a plus

• strong analytical thinking
• communication with cross-functional teams
• attention to detail
• Stochastic calculus
• PDEs
• Monte Carlo methods

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