Rates Quantitative Analyst, VP, Model Performance

A leading investment bank is looking for a hands-on rates quant to join their model performance team in London. The initial project will be to build a new performance testing model for their rates derivative pricing models. The model will be python-based, and will assess models in their accuracy, speed and overall performance.

This is a role in which you will gain exposure to senior heads of quantitative analytics groups and take ownership of model performance monitoring and governance. This team sit within the front office.

Key Responsibilities:

• Conduct comprehensive assessments of model performance including models for interest rate derivatives, bonds, and other fixed income products.
• Develop and implement a python-based tool to assess model performance and identify potential weaknesses.
• Collaborate with model validation, risk management, and other stakeholders to ensure models meet regulatory and internal standards.
• Provide detailed documentation and reports on model validation findings and recommendations.
• Mentor and guide junior team members, fostering a culture of continuous learning and development.

Qualifications:

• Advanced degree (PhD or MSc) in a quantitative discipline such as Mathematics, Physics, Engineering, or Financial Engineering.
• Extensive experience in model validation and development, particularly in rates models, within an investment banking environment.
• Strong programming skills, preferably in Python
• In-depth knowledge of financial products, particularly interest rate derivatives and fixed income securities.
• Excellent analytical, problem-solving, and communication skills.
• Ability to work effectively in a fast-paced, dynamic environment and manage multiple priorities.