Quant Model Risk Associate - Rates

As a Quant Model Risk Associate 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 pricingmodels,engines,andreservemethodologiesassessmodelbehaviorandsuitabilityof 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 theoutcomeofvariousmodelsDesignmodelperformancemetrics
• Liaiseswithmodel developers,RiskandValuationControlGroupsandprovideguidanceonmodelrisk
• Evaluates model performance on a regular basis

Required qualifications, capabilities, and skills

• Excellenceinprobabilitytheory,stochasticprocesses,statistics,partialdifferentialequations,andnumericalanalysis
• MSc, PhD orequivalent in a quantitative discipline
• Inquisitivenature,abilitytoaskrightquestionsandescalateissues
• Excellentcommunicationskills(writtenandverbal)
• Goodunderstandingof optionpricingtheory(i.e.quantitativemodelsforpricingandhedgingderivatives)
• Good coding skills, for example in C/C++or Python
• 3+ years in a FO or model risk quantitative role.

Preferred qualifications, capabilities, and skills

• ExperiencewithRates derivatives