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 in the Model Risk Governance team, you will assessand help mitigate 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.

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

Job responsibilities

• Carryoutmodelreviews:analyzeconceptualsoundnessof complex pricing models,engines,andreservemethodologies;assessmodelbehaviorandsuitabilityof pricing models/enginestoparticularproducts/structures
• Provide 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
• Liaisewithmodel developers,Riskand Valuation Control Groupsandprovideguidanceonmodelrisk
• Evaluate model performance on a regular basis
• Manage and develop junior members of the team.

Required qualifications, capabilities, and skills

• Significant experience in a FO or model risk quantitative role.
• Excellenceinprobabilitytheory,stochastic processes,statistics,partialdifferentialequations,andnumericalanalysis
• MSc, PhD or equivalent in a quantitative discipline
• Inquisitive nature,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