AVP - Equity Derivatives Model Quant - Product Development/Model Governance - Investment Bank

The role offers an exciting opportunity to work in the Equity Derivatives quants team, which gives the challenges and learning given by a FO role, in dealing with cutting edge pricing models, derivative products which directly contribute to the PNL of our books.

The Opportunity:

- Development and validation of new products to support complex new trades

- Development of new models and validation of reserves methodologies

- Participate in the implementation of the model governance framework

Role Context

- Provide support of product development tasks:

- Develops new products with their appropriate model, model calibration tools and risks.

- Develops and maintains complex products such as Vol Caps, Quantitative Investment Strategies, Collateralized Loans, new one-off trades

- Defines model reserves methodologies in collaboration with Product Control and Trading. Monitors these reserves. Contributes to their industrialization

- Participate in Model Governance - Development of model performance indicators, Liaise with IMR in Model reviews and implement remediative actions to findings arising from such reviews.

- Develop and maintain a testing framework for new products and models

Day to day support / Bugs fixing

- Assist in the release of the Quant libraries and tools

- Assist in deploying the product development tools to users

What you will need to succeed in the role:

- A degree based on Mathematical Finance from a top tier university

- Experience in model development in derivatives

- Familiarity with C++

- Scripting and Python experience