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Validating pricing models for interest rate, FX derivatives, hybrid interest/FX derivatives and certain ABS transactions. Most of the trades to be validated are trades done by the US rates and US EM rates business. The main 4 components of the validation process for pricing models are (i) assessing adequacy of the model for the products that are traded based on corresponding model, (ii) correct (mathematical/statistical) specification of the pricing kernel including risk measures, (iii) testing of model implementation and (iv) determining model risk and model reserves. Participating in model pipeline meetings for US rates and EM rates and discussing model related issues with traders, quants and desk risk managers.
Participating in annual model reviews and regulatory projects.
Keeping her/himself updated with new model developments (i.e., outside of the firm) and changes to the regulatory environment (i.e., ISDA).
Qualifications /Education: PhD or MS in financial mathematics/engineering) in a technical field (i.e, finance, financial mathematics, physics, engineering).Exposure to financé is required (i.e., knowledge of asset pricing, option pricing, bond maths. Experience required: 3+ years of relevant experience. Skills and Aptitude: Knowledge of derivatives pricing, stochastic calculus and numerical methods (i.e., MC, finite difference). Programming skills: VBA and/or C/C++, Matlab, Mathematica. Good communication and writing skills.Knowledge of pricing models outside rates and FX (i.e., credit derivatives, ABS).
Your resume is never sent out w/o your approval! email word doc to: Deborah@ESCfinance.com Deborah J Kolb 818-999-9891
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