Global Investment Bank is looking to add a VP level candidate to their Market Risk Model Review team within their Risk Management division. 

The Model Review Group has global responsibility for the independent review of all valuation models used by the Trading Divisions of the Bank. Model review professionals are located in New York and London, and work closely with desk strategists (Quant Research) and professionals in the Trading Divisions. Principal activities include work on model reviews across all trading divisions (Equity, Fixed Income, Commodities). The group is organized along major asset classes, covered by professionals in both New York and London. At steady state, the group will have senior members heading the review of models in the major asset classes, and junior members performing the support work. The group is currently looking for a professional to head up the review for models in one of the major assets classes, and the level is expected to be VP or ED (Executive Director), depending on level of experience.

The ideal candidate will have 5-10 years of experience and have a strong knowledge of mathematical finance, derivative pricing models, and numerical techniques for derivative valuation (Monte Carlo methods, PDE solvers, etc.; have the ability to program valuation models for complex derivatives; have excellent writing and communication skills. Educational requirements include a Ph.D. in Finance, Economics, Mathematics, Mathematical Finance, Physics, Engineering, or a related field. Additional requirements for the senior roles include experience in building derivative pricing models with a financial institution, or experience in a model review/validation group.

For more information or immediate consideration, please refer to Job#JCK728 and submit resume in Word format to:  ian@comprehensiverecruiting.com