Quant Model Risk Vice President

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 Vice President you will assessand helpmitigate the model risk of complex models used in the context of valuation and risk measurement for Interest Rate derivatives. 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.

You will also have managerial responsibility to oversee, train and mentor junior members of the team.

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
• Manage and develop junior members of the team.

Required qualifications, capabilities, and skills

• 7 years of experience in a FO or model risk quantitative role.
• 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
  
  

Preferred qualifications, capabilities, and skills

• Experiencewithinterest rates derivatives