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Director, Rates Model Validation & Analytics
A leading global financial institution is seeking an experienced Director-level Quantitative Analyst to join its Markets Quantitative Analytics team. This role will focus on the review, validation and enhancement of interest rate pricing models used across complex rates and structured products businesses.
The successful candidate will provide independent challenge to Front Office quantitative models, working closely with traders, quants, risk managers and senior stakeholders to ensure pricing methodologies remain robust, fit for purpose and aligned with regulatory expectations.
Key Responsibilities
- Perform in-depth reviews and validation of interest rate pricing models across a wide range of vanilla and exotic derivatives.
- Assess model assumptions, limitations, calibration methodologies and implementation approaches.
- Provide independent challenge to Front Office quantitative models and recommend model enhancements where appropriate.
- Review and validate pricing methodologies for complex interest rate products.
- Engage with Front Office Quants, Model Risk, Trading and Risk Management teams on model-related discussions and governance.
- Contribute to model approval processes, periodic reviews and model governance activities.
- Prepare technical documentation and present findings to senior management and model governance committees.
- Support regulatory reviews, internal audits and ongoing model risk management initiatives.
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Required Experience
- Significant experience within Quantitative Analytics, Model Validation, Quantitative Research or Rates Modelling.
- Strong knowledge of interest rate derivatives and rates exotics.
- Experience reviewing, developing or validating pricing models for products such as:
- Swaptions
- Bermudan Swaptions
- CMS and CMS Spread Options
- Callable Structures
- Inflation Derivatives
- Structured Rates Products
- Experience interacting directly with Front Office trading and quantitative teams.
- Ability to challenge model methodologies and communicate findings effectively to senior stakeholders.
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Technical Skills
- Strong knowledge of one or more of the following modelling frameworks:
- SABR
- Libor Market Model (LMM)
- Heath-Jarrow-Morton (HJM)
- Hull-White
- Markov Functional Models
- Quadratic Gaussian Models (QGM)
- Experience with:
- Model calibration techniques
- Interest rate volatility modelling
- Numerical methods and stochastic modelling
- Pricing libraries and quantitative analytics tools
- Python, C++ or equivalent quantitative programming languages
Education
- Advanced degree (MSc or PhD) in Mathematics, Physics, Financial Mathematics, Quantitative Finance, Engineering or a related quantitative discipline.
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