My client, a top tier investment bank with locations throughout the world is seeking Vice President for its FX/Interest Rate Model Review team within the larger Valuation Review Group (VRG). VRG is responsible for the Firm's valuation control issues. The VRG team performs the production and analysis of mark review and represents FCG in the firm-wide model review process. The model review role is performed by a specialist quantitative analyst team. The open position is for a quantitative expert at the Vice President level to focus on the hybrid FX/IR models/products. The candidate will report into the head of the North America Fixed Income Model Review/Quantitative Analysis team. Functions of the role: • Signoff new models developed by the front office model development team. Sign-off by VRG is to ensure that independent mark review process can be implemented for all new trades leveraging models subject to the New Model Approval Process. • Proactive in raising valuation risk issues to appropriate finance senior management and take the lead in coordinating solutions in partnership with the Business Unit Controllers, front office Analytical Modeling, Market Risk Department and other institutional disciplines as required. • Design mark review processes for complex products and provide quantitative analysis within VRG. • Provide technical assistance to VRG on the articulation and coordination of valuation and valuation adjustment methodologies. The successful candidate will also need to demonstrate: • Proven organizational and leadership skills. • The ability to develop strong internal client relationships • The ability to work under pressure to tight deadlines. • Strong interpersonal skills as it is important to interact confidently with Business Unit and Business Unit Control senior management and Market Risk Department

• Knowledge of Arbitrage-Free Pricing theory, Derivatives, and Stochastic Calculus is required. PC literate with strong command of excel spreadsheets, preferably with experience in the visual basic language Previous exposure to technical software like matLab or mathematica is desirable. Education/Experience Requirements: M.Sc. or a Ph.D. in a quantitative discipline, such as Mathematics, Physics, Engineering or other related technical field is desirable. Four to six years of work experience in the financial institutions industry concentrating on interest rate or structured credit products, preferably utilizing technical expertise to model structured transactions.

To apply: Please send your resume in confidence to vbowser@korenrogers.com