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 | Maths Fi annonces de selby-jennings-new-york |  |
Ingénierie financière, finance quantitative, IT finance, maths financières.
| Voir les 96 annonces d'emploi de SELBY-JENNINGS-NEW-YORK
Quantitative Analyst - Derivatives Model validation - New York
Salary $115,000-$130,000A top US investment bank is currently looking to expand its Quantitative Model Validation function in New York, with the acquisition of a 2 very strong quantitative modelers at a mid-level and junior levelThe bank is one of the most prestigious finance organizations globally and provides a wide range of services worldwide to a substantial and diversified client base that includes corporations, financial institutions, governments and high net worth individuals.The model validation team validates pricing and risk models across the whole firm, and across all products. This includes pricing models used for OTC derivatives, cash products, CVA, other valuation adjustments, and mortgage empirical models (prepay etc.) You will also cover risk models including counterparty potential exposures, VaR models and operational risk models. The benefit of joining this group is that you work on a multi asset platform and work on products including FX, interest rates, equity, credit, mortgages and commodities, giving you an excellent exposure to different trading desks and a rounded skill set.This group differs significantly from model validation groups at most other firms. Candidates who might normally only consider a front-office role should definitely consider applying for this role. Skill level, compensation, impact, and working hours are on-par with the front office. The group doesn't write validation reports with limited impact. Instead, the approval of a model is mandatory, or a model cannot be used by the desk (strong impact).Senior management on the front office takes the model control extremely serious, and because of this (and the requirement for upfront approval of models), front-office quants are highly motivated to work with this group. This leads to a very intense two-way interaction, which gets the team closely involved with cutting-edge aspects of modeling development.-For the mid-level role all experience should be front office derivative modelling within any asset class-PhD in a quantitative field (such as mathematics, physics, statistics or engineering) required, from a Top Tier School-Excellent mathematical / quantitative skills required.Programming skills and experience with programming languages such as C, C++, Java, as opposed to VBA or SAS required. In general, the emphasis is on quantitative skills, but there is also a role for a very strong programmer with strong quantitative skills.-Strong written and verbal communication skills required.-Knowledge of mathematical finance is not necessarily required. However, it is a definite plus if someone has done some serious self-study on derivatives modeling (Hull's book, Wilmot, Joshi, etc).To apply or for more information, please contact us by email.More information: www.selbyjennings.com , +1 (212) 231 8223
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