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Executive Director - Derivatives Pricing & Model Validation - Bank (12-20 yrs)
ED - Derivatives Pricing & Model Validation for a unit that oversees model risk - Bank
Role Summary
- Manage Derivative pricing models
- Carry out a portfolio of model reviews (e.g. pricing engines, products, reserve methodologies) in a trading asset class / product area
- Communicate review needs and findings to FO quants, traders, Risk and Valuation Control Groups
- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
REQUIRED SKILLS / EXPERIENCE -
- Extensive model development (e.g. model design, model implementation, desk support) experience at Financial Firm with top 10 ranking in Tier 1 hybrid/exotic derivatives products
- Experience with Monte Carlo and numerical methods
- C/C++ programming, Python, Visual Basic
- PhD or equivalent
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