Model Risk Governance and Review - Rates - Associate
Model Risk Governance and Review - Rates - Associate
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Job Description
We are looking for a new member to join our Interest Rates 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 in our Model Risk Governance and Review Group you will assess and help mitigate the model risk of complex models used in the context of valuation risk measurement the calculation of capital and more broadly for decisionmaking purposes. Additionally you will have an opportunity for exposure to a variety of business and functional areas and will work 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
- Experiencewithinterest rates derivatives
- Experience in a FO or model risk quantitative role.
Required Experience:
IC
Employment Type
Full-Time
