Vacancy detail

Equity Model Valuation Quant

£80 – £140

Location: United Kingdom (London – London) Type: Permanent

Quant Analyst - Model Validation, Equity Derivatives - VP/Director level

London based

Our client is looking for an experienced quant to join their Model Validation team focusing on equity and equity-hybrid derivatives. As part of Group Risk Control, the main objective of the team is the validation of the models used for valuation and management of the firm's trading positions from a market risk perspective.

Responsibilities

  • Contribute to the development of benchmark models in C++ in 'our in-house cutting edge library
  • Independently review exotic equity derivative models
  • Approve exotic equity trade approval transactions
  • Provide expertise on model suitability, calibration, speed and accuracy
  • Represent the team at internal meetings
  • Work closely with front office quants, market risk control, and trading

Requirements

  • Ideally at least 4 years working experience in a similar quantitative role
  • MSc or PhD in a quantitative discipline
  • Experience using C++ and Python, and implementing complex derivative models using Monte Carlo and/or partial differential equation techniques
  • Excellent written and interpersonal communication skills
  • Methodical, concise and accurate
  • Motivated to drive strategic initiatives, while keeping a strong attention to details
  • Able to apply technical understanding to practical problems - willing to collaborate and share knowledge with your team

Reference: AMC/RLA/EqMV

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