Cross Asset Model Validation Quant

Overview

In this role you will independently review, analyse and test derivative pricing and risk models across asset classes to support robust validation. You will develop independent validation models, focusing on linear credit trading products and Interest Rate Derivatives, and collaborate with front and middle office stakeholders. You will contribute to due diligence in the New Product Approval Process and model governance, within a technology-driven trading environment in London.

Responsibilities

• Review and analyse derivative models for pricing and risk across asset classes
• Develop independent validation models for linear credit trading products and interest rate derivatives
• Liaise with front and middle office representatives
• Engage in due diligence for New Product Approval Process and model governance

Key requirements

• PhD or MSc in Mathematics, Financial Mathematics, Physics or Statistics
• 4 years experience in Model Validation or Front Office Quant or related quantitative role
• Interest Rate experience
• Strong mathematical foundation (Stochastic Calculus, PDEs, Monte-Carlo, Finite Difference, Numerical Algorithms)
• Proficiency in C++ or R (potentially C)
• Experience with regulatory interaction is a plus

• Clear communication with front/middle office teams
• Strong problem-solving and analytical thinking
• Attention to detail and rigor in validation work
• Stochastic Calculus
• Partial Differential Equations
• Monte Carlo Methods

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