AVP, Fixed Income Quantitative Analyst (Model Validation)

Jefferies; New York (NY); On-site; USD 120,000 - 160,000; Full time

Job summary

Jefferies, a leading global investment banking firm, is seeking an Assistant Vice President Quantitative Analyst for its Model Validation team. This role focuses on independently validating and approving financial models while managing associated risks. Ideal candidates will have a quantitative degree and strong derivatives pricing skills.

Qualifications

• Experience with validation and/or front-line development of fixed income derivatives pricing models.
• Strong theoretical understanding of pricing models.
• Ability to find practical solutions to challenging problems.

Responsibilities

• Perform independent validation and approval of models.
• Conduct annual review and revalidation of existing models.
• Communicate results of model validation activities to stakeholders.

Skills

Strong communication skills

Teamwork and collaboration

Derivatives pricing skills

Education

MSc or PhD in a quantitative field

Tools

VBA

Python

Job description

Jefferies, the global investment banking firm, has served companies and investors for over 60 years. Headquartered in New York and staff in over 30 global cities, the firm provides clients with capital markets and financial advisory services, institutional brokerage and securities research, and wealth and asset management. Jefferies provides research and execution services in equity, fixed income, foreign exchange, futures and commodities markets, and a full range of investment banking services including underwriting, merger, and acquisition, restructuring and recapitalization.

The primary mandate ofModel Validation Team is to manage risk that arises from models used in the firm throughout its range of businesses, including models used for derivatives valuation, market and credit risk management, liquidity, and capital computations. The team is responsible for independently reviewing models for validity, theoretical consistency and implementation accuracy, as well as assessing the risk associated with model choice.

Jefferies is looking for an Assistant Vice President Quantitative Analyst to join our Model Validation function.

Key Responsibilities

• Perform independent validation and approval of models, including raising and managing model validation findings
• Conduct annual review and revalidation of existing models
• Provide effective challenge to model assumptions, mathematical formulation, and implementation
• Assess and quantify the model risk arising from model limitations, to inform stakeholders of their risk profile and development of compensating controls
• Contribute to strategic, cross-functional initiatives within the model risk team
• Oversee ongoing model performance monitoring, including benchmarking, process verification and outcome analysis performed by model developers
• Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management

Qualifications

• MSc or preferably PhD in a quantitative field (physics, mathematics, computer science, financial engineering, etc.)
• Strong communication skills with the ability to find practical solutions to challenging problems
• Teamwork and collaboration skills a must
• Experience with validation and/or front-line development of fixed income derivatives pricing models at a leading financial institution
• Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in VBA/Python), ideally including a solid theoretical understanding of pricing models

Primary Location Full Time Salary Range of $120,000 - $160,000