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Job Details

Model Validation Manager- Capital Markets IR/FI

Company name
Selby Jennings

Location
Washington, DC

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Job Type:

Permanent, Full time

Company:

Selby Jennings QRF

Posted on:

08 Jan 18

Model Validation Manager- Capital Markets (IR/FI)

Location:

Washington D.C., DC, USA

Salary:

$150000 - $180000 per annum

Job Type:

Full time

Currently working with a top international bank based in Manhattan. They are looking to build out the Capital Markets team with a key hire on the quantitative side. You will need strong communication skills and be experienced with Interest rates and Fixed Income.

Responsibilities:

Leading model validation projects in capital markets, assessing the methodologies and processes used in model development, evaluating the model performance and, wherever applicable, developing benchmarking models

Solving business problems with limited data and making conclusions with analytical justifications

Providing constructive and actionable solutions to model issues identified

Independently research, identify and prototype industry best modeling practices

Communicating validation results to management, model owners, regulators, and auditors

Basic Qualifications:

Master’s degree

3 years in no-arbitrage pricing, interest rate modeling or fixed income modeling

At least 1 year of experience programming in C, C#, C , Python, R or MATLAB

Preferred Qualifications:

Doctorate in quantitative fields

5 years in no-arbitrage pricing and interest rate modeling

5 years in fixed income analysis and/or hedging

Hands on experience with Polypaths, Murex, Calypso, QRM, Intex or Trepp

Direct work experience with Option Adjusted Spread (OAS) methodologies and Monte Carlo simulation

Skilled programming in Python, R or other open-sourced languages

Company Profile
Selby Jennings is the foremost provider of recruitment solutions to global financial institutions across Europe, the US, Asia and the Middle East. We work with a diverse range of clients, including investment banks, hedge funds and fund of funds, asset management, M&A, corporate finance and private equity financial consultancies and trading houses. Covering both contingency and retained recruitment services, we offer our clients an industry leading marketing driven operation, as well as a search and selection service to ensure we access the best and most relevant pool of candidates for every assignment.

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