Markets Strats - Senior Rates Pricing Quant - First Line Model Review
- Hiring Organisation
- Barclays
- Location
- East London, London, United Kingdom
- Employment Type
- Permanent, Work From Home
- Salary
- GBP per day
model performance tests against production pricing libraries. Design and implement new quantitative tests to assess model behaviour, model limitations, numerical stability, calibration quality, and risk sensitivities. Investigate unexpected model behaviour and support root-cause analysis. Ensure the model and its documentation are fit for purpose (e.g. … analyse production C++ model implementations. Act as a senior quantitative representative across the model lifecycle. Interact confidently with traders, quantitative developers, model validators, market risk, product control, audit, and model risk management teams. Communicate complex quantitative issues clearly to both technical and non-technical audiences. Core Requirements Years ...