Quant Model Risk Associate
Quant Model Risk Associate
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Job Description
We are looking for a new member to join our Commodities team in the Model Risk Governance and Review Group which is responsible for endtoend model risk management across the firm.
As a Quant Model Risk Associate within our Risk Management team you will be responsible for assessing and mitigating the risks associated with complex models used for valuation risk measurement capital calculation and decisionmaking purposes. This role also provides the opportunity to gain exposure to various business and functional areas as well as collaborate closely with model developers and users.
Job responsibilities
- Carriesoutmodelreviews:analyzeconceptualsoundnessof complex pricingmodelsenginesandreservemethodologies;assessmodelbehaviorandsuitabilityof pricingmodels/enginestoparticularproducts/structures
- Provides guidance on model usage and act as first point of contact for the business on all new models and changes to existing models
- Developandimplementalternativemodelbenchmarksandcompare theoutcomeofvariousmodels;Designmodelperformancemetrics
- Liaiseswithmodel developersRiskandValuationControlGroupsandprovideguidanceonmodelrisk
- Evaluates model performance on a regular basis
Required qualifications capabilities and skills
- Excellenceinprobabilitytheorystochasticprocessesstatisticspartialdifferentialequationsandnumericalanalysis
- MSc PhD orequivalent in a quantitative discipline
- Inquisitivenatureabilitytoaskrightquestionsandescalateissues
- Excellentcommunicationskills(writtenandverbal)
- Goodunderstandingof optionpricingtheory(i.e.quantitativemodelsforpricingandhedgingderivatives)
- Good coding skills for example in C/Cor Python
Preferred qualifications capabilities and skills
- Experiencewithcommodity derivatives
- Experience in a FO or model risk quantitative role.
Required Experience:
IC
Employment Type
Full-Time
