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.

Professional skills and experience

• Experience in credit derivative modeling (Copula/Monte Carlo models) and rating agency methodologies.

• 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 quantexotic@selbyjennings.com

http://www.selbyjennings.com , +44 (0) 207 019 4137

To apply: Contact: jobs@selbyjennings.com or 0207 019 4100

Selby Jennings is the foremost provider of recruitment solutions to global financial institutions across Europe, the US, Asia and the Middle East.

We work with a diverse range of clients, including investment banks, hedge funds and fund of funds, asset management, M&A, corporate finance and private equity financial consultancies and trading houses.

Covering both contingency and retained recruitment services, we offer our clients an industry leading marketing driven operation, as well as a search and selection service to ensure we access the best and most relevant pool of candidates for every assignment.

Please call a member of the team on 0207 019 4100 to find out more.