Quant Model Risk Associate Rates

We are looking for a new member to join our 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 in our Model Risk Governance and Review team 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 area 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

Required qualifications capabilities and skills

• Excellenceinprobabilitytheorystochasticprocessesstatisticspartialdifferentialequationsandnumericalanalysis
• MSc PhD orequivalent in a quantitative discipline
• Inquisitivenatureabilitytoaskrightquestionsandescalateissues
• Excellentcommunicationskills(writtenandverbal)
• Goodunderstandingof optionpricingtheory()
• Good coding skills for example in C/Cor Python

Preferred qualifications capabilities and skills

The following additional items will be considered but are not required for this role:

• ExperiencewithRates derivatives
• Experience in a FO or model risk quantitative role.