Rates Model Risk AssociateVP
Rates Model Risk AssociateVP
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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 end-to-end model risk management across the firm.
As a Quant Model Risk Associate/VP you will assessand helpmitigate the model risk of complex models used in the context of valuation risk measurement the calculation of capital and more broadly for decision-making purposes. Additionally you will have an opportunity for exposure to a variety of business and functional areas as well as will work closely withmodel 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.
- Manage and develop junior members of the team.
Required qualifications capabilities and skills
We are looking for someone excited to join our organization. If you meet the minimum requirements below you are encouraged to apply to be considered for this role.
- Excellenceinprobabilitytheorystochasticprocessesstatisticspartialdifferentialequationsandnumericalanalysis
- MSc PhD orequivalent in a quantitative discipline
- Inquisitivenatureabilitytoaskrightquestionsandescalateissues
- Excellentcommunicationskills(writtenandverbal)
- Goodunderstandingof optionpricingtheory()
- Good coding skills for example in C/Cor Python
- 3 years of experience in a FO or model risk quantitative role.
Preferred qualifications capabilities and skills
The following additional items will be considered but are not required for this role:
- Experiencewithinterest rates derivatives.
Required Experience:
Exec
Employment Type
Full-Time
