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Equity Pricing Model Validation Associate

Posted on Jan 27, 2019 by Selby Jennings QRF

New York, NY
Banking
7 Jan 2019
Annual Salary
Full-Time

Pricing Model Validation Associate

An established global Investment Bank is searching for an intelligent and professional Pricing Model Validation Associate to join their Market Risk Department on the Model Validation Team. The firm is seeking an analytical candidate who will be responsible for performing the duties of completing model and product validation with the purpose of evaluating and decreasing the risk within pricing and liquidity models. The Pricing Model Validation Associate will be tasked with seeking major risk factors of derivative products and assessing the strength of the pricing model choices. This position is highly collaborative with other Model Validation Teams throughout the company globally. This diverse firm is seeking a quantitative candidate who is determined to contribute to ensuring company success.

Responsibilities:

  • Conduct independent analysis and regular inspection of models utilized for pricing and risk management of equity derivative projects. Ensure the concepts and assumptions of model specification are sound and conduct tests in stressed market conditions to check for correct implementation and test strength in several aspects.

  • Inspect product-model competency while taking account of hedging strategies and market liquidity to assess product sensitivity in several market conditions.

  • Create alternative approaches with reference to alternative pricing models.

  • Collaborate and be actively engaged with finance, R&D, Risk Managers and traders.

  • Accurately document detailed findings with pricing framework conditions and any limitations.

  • Report to the head of the Model Validation team.

Qualifications:

  • 3+ years of experience in a pricing model validation or front office quant role with extensive experience with derivatives.

  • Extensive experience with object programming.

  • A Master/PhD from a top tier university in a scientific subject such as Mathematics, Mathematical Finance, Physics or Statistics.

  • Must have professional communication skills both written and oral in the English language.

An established global Investment Bank is searching for an intelligent and professional Pricing Model Validation Associate to join their Market Risk Department on the Model Validation Team.

Reference: 633441965