Lead Quant Analyst – Model Validation
Millar Associates
Asia or London
30d ago

Our client, a Global Investment Bank, seeks to recruit an experienced Quant Analyst, from any asset class, with strong C++ programming skills, to lead a small team.

Based in Asia (preferred) or London, you will work on the validation of derivatives pricing models and assessment of the associated model risk.

This is an excellent opportunity and a chance to step up to a management role. KEY RESPONSIBILITIES :

  • Review and validate front office derivative pricing models
  • Implement benchmark models in C++
  • Develop alternative models and methodologies to assess model risk
  • Day to day support with all model related questions
  • Management responsibilities
  • ESSENTIAL SKILLS & EXPERIENCE :

  • 5+ years experience implementing derivative valuation models in C++ (Front Office or Pricing Model Validation)
  • Good knowledge of one or more asset classes (FX or Rates preferred, but open to any)
  • Minimum of Masters educated in a quantitative field (Physics, Maths, Engineering)
  • Strong financial maths for derivatives pricing; monte carlo, PDEs and numerical integration
  • Good judgement to assess strengths & weaknesses of modelling approaches
  • Strong communication skills; fluency in written and spoken English
  • Management experience advantageous but not essential
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