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Structured Credit Derivatives Model Validation Quant (London, UK)Employer: Phi Partners My client is leading investment bank with one of the most innovative reputations in structured products. As the trading operation grows there is an increasing demand on the quant groups to keep up with the pace of innovation. As a result of this they are looking to recruit an experienced Quant for the model validation team to work exclusively on the validation and development of structured interest rate models The main responsibility being the trading-independent validation and sign-off for pricing models applied to mark-to-model pricing of structured credit products. The key topics within the validation procedure, which is embedded in the banks New Product Approval process, is as follows; 1. Validation of the mathematical valuation method 2. Test and Signoff of the model implementation in the front office 3. systems or spreadsheets by re-implementation of the model 4. audit proof test documentation 5. specification of reserves for model uncertainty The Global Analytics Instruments team are 8 people. They cover the model validation for all asset classes where the bank holds positions in tradable products. In London there is a senior colleague focussing on interest rate exotics and one senior Quant covering the structured credit business from London and New York. Team members are also encouraged to develop themselves step by step to cover more than one asset class over the course if time if they choose to. Alternatively they may wish to move into the front office quant group or into trading or structuring. This is fully encouraged and supported which is unique and typically very unusual. In London the whole Market Risk Management is sitting on the trading floor. They do this to ensure the close contact to Trading. The Analytics colleagues sit next to Product Development, who make the models that Model Validation have to check. There is close co-operation and communication and they are early informed about products and models in the pipeline. For more information on this excellent opportunity please contact Desmond Stockdale, ds@phipartners.com or call +44 207 618 6447 About the Employer: Phi Partners is a London based search and selection company specialising in banking technologies, quantitative finance, front office, and risk management across all product classes. Our Clients include pre-eminent names in the Investment Banking and Alternative Asset Management communities globally. We provide a practical and effective service to candidates and clients. If you are seeking to recruit within this sphere or have professional experience of more than one year in this area then we would be pleased to hear from you. Contact:
Desmond Stockdale
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