Quant Model Risk Vice President - Rates

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 Interest Rates team, you will assess and help mitigate 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 with model developers and users.

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

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

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.

• 5+ years of 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

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

• Experiencewithinterest rates derivatives