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

Job Title: Senior Rates Pricing Quant - First Line Model ReviewLocation: London (Hybrid: 3 days/week in-office)Contract Duration: 6-monthRole SummarySitting 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.ResponsibilitiesWe 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 ..... full job details .....