A top US investment bank is looking for a quantitative risk analyst/modeler in the Model Validation group. Model Validation is a multi-national, financial derivatives team within risk management.
It covers all aspects of model validation (i.e. verifying derivatives pricing models, identifying the models' key underlying assumptions and deriving models' reserve requirements) and trade approvals for FX, equity, commodities, credit derivatives, mortgage products and rates products, assessing both market and credit risks.
The successful candidate will prepare technical documentation of model validation, assist in the review of control procedures and the development of written policies and procedures for risk management practices. Candidate will work closely with model developers, various derivatives trading desks and risk management groups.
In addition the candidate will be involved in development of risk measurement models such as VAR.

Primary areas of responsibility are:
-Write benchmarks to validate pricing functions developed by the front office quants and prepare technical documentation of model validation. Identify mis-specified models, i.e. mathematically correct models which are not applicable to the given product and/or market. Quantify the error. Propose more adequate models.
-Review new products with special emphasis on valuation and risk management. Detect misunderstood and/or understated risks.
-Highlight the potential use of wrong or inconsistent input values for parameters, which are not readily quoted in the market (e.g. skew, correlation, etc.) and derive model reserve requirements for them.
-Assist market risk managers on trade approvals and finance on price verification methodologies.
Most projects contribute towards bank-wide standards for managing all risks associated with investment banking.
The impact of results can be substantial as they are routinely passed on to senior management.

Professional skills and experience:
-Experience in credit derivative modeling (Copula/Monte Carlo models) and rating agency methodologies.
-Strong background in financial mathematics (derivatives models, probability theory, mathematics).
-A knack for solving real world analytical problems.
-Ability to develop models in a timely manner, using innovation and common sense.
-A good knowledge of financial markets/products (e.g. correlation products such as CDOs, CDO of CDOs, Leveraged Notes, Credit Hybrids and CPPI products using existing rating and pricing models).
-Good programming skills in C++, VB and/or Mathematica.
-Highly numerical degree to PhD level in Quantitative Finance, Applied/Computational Mathematics, Physics or Statistics. Strong candidates with DEA, or MSc with relevant working experience could be considered.
-At least 3 years experience in credit derivatives products and modeling within structured credit.

To apply or for more information please contact by mail.

www.selbyjennings.com, 00 44 207 019 4137