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Model Validation Quant Analyst- Exotic Rates, Inflation and Hybrids

London, United Kingdom | UBS

  • Industry:
    Financial Services
  • Position Type:
    Full-Time
  • Functions:
    Risk Management
  • Experience:
    1-3 years
Job Description:
80 people have viewed this job

Your role


Does complex modelling excite you? Are you an innovative thinker? We’re looking for someone like that who can:

• independently review rates, inflation, hybrid derivative models and products.

• approve exotic rates and hybrid trade approval transactions.

• contribute to the development of benchmark models in C++ in our in-house cutting edge library.

• work on model suitability, calibration, speed and accuracy.

• work closely with front office quants, market risk control, and trading.


Your team


You’ll be working in the Model Validation team focusing on interest rate, inflation, long dated FX and 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 model risk perspective.


Your expertise


– ideally 1-3 years working experience in a similar quantitative role however a PhD with a strong technical background without industrial experience will also be considered

– MSc or PhD (preferred) in a quantitative discipline.

– experience using C++ and Python. Implementing complex derivative models using Monte Carlo and/or partial differential equation techniques is an advantage.

– 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


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