Markets Strats - Senior Rates Pricing Quant - First Line Model Review

Job Title:

Senior Rates Pricing Quant – First Line Model Review

Location:

London (Hybrid: 3 days/week in-office)
Contract Duration: 6-month

Role Summary

Sitting directly in 1st Line Core Strats, this role provides immediate impact on shaping and challenging non-linear Rates pricing models. The successful candidate will act as a senior quantitative modeller, conducting technical reviews, developing benchmark test suites in Python, and refining model documentation in LaTeX prior to formal 2nd line validation submission.

We are seeking a modeller rather than a software developer. The successful candidate should be able to:

• Review and challenge model documentation, ensuring technical accuracy, completeness, and clarity.

• Assess the appropriateness of modelling assumptions, methodologies, calibration approaches, sensitivities’ computation, limitations, and controls.

• Run and analyse existing 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. EOD, FVA, PVA).

• Ensure the documentation is fit for submission to the independent validation team.

• Help minimise validation findings by identifying and addressing weaknesses before formal validation review.

• Produce high-quality technical documentation in LaTeX.

• If relevant, design and implement alternative components or enhancements in Python, thus providing benchmark approaches to support the assessment of model assumptions and limitations.

• If warranted, debug and 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.

• Years of experience in non-linear Rates pricing models, with demonstrated expertise in model development and/or validation/review of term structure models and exotic instruments.

• Strong understanding of Rates derivatives modelling, particularly for callable and path-dependent products.

• Quantitative background in applied mathematics, financial mathematics, quantitative finance, or a closely related discipline.

• Proven experience assessing model methodology, assumptions, limitations, calibration approaches, sensitivities’ computation, and model performance.

• Ability to understand and challenge modelling choices and articulate their impact on pricing, risk, hedging, reserves, and governance decisions.

Candidates should have experience with a significant subset of the following: CMS and CMS Spread products, Bermudan swaptions and callable rates products, LMM (Libor Market Model), Hull-White models, HJM frameworks, Cheyette models;
Local volatility models, Forward volatility modelling, stochastic volatility models, SA  and volatility surface construction.

• Rates, Hybrid Rates/FX, Rates/Credit or Rates/Equity models.

• Inflation, Munis.

• Model validation or model documentation as a developer.

• Python and/or C++ implementation experience.

• Design and assessment of model reserves and adjustments relating to model limitations.

• The focus is on pricing models rather than interest-rate curve construction roles, counter party credit risk (CCR/XVA) modelling, market risk capital or stress-testing models, risk analytics roles, software engineering roles, trading or structuring…