Quantitative Model Risk Strategist
3 weeks ago
We are seeking a highly skilled Quantitative Model Risk Strategist to join our Interest Rates team in the Model Risk Governance and Review Group, responsible for end-to-end model risk management across the firm.
As a Quantitative Model Risk Strategist, you will assess and 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 areas as well as work closely with model developers and users.
You will also have managerial responsibility to oversee, train, and mentor junior members of the team.
Key Responsibilities:
- Carry out model reviews: analyze the conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures.
- Provide guidance on model usage and act as the first point of contact for the business on all new models and changes to existing models.
- Develop and implement alternative model benchmarks and compare the outcomes of various models; design model performance metrics.
- Liaise with model developers, Risk and Valuation Control Groups, and provide guidance on model risk.
- Evaluate model performance on a regular basis.
- Manage and develop junior members of the team.
Required Qualifications, Capabilities, and Skills:
- Significant experience in a front office or model risk quantitative role.
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
- MSc, PhD, or equivalent in a quantitative discipline.
- Inquisitive nature, ability to ask the right questions and escalate issues.
- Excellent communication skills (written and verbal).
- Good understanding of option pricing theory (i.e., quantitative models for pricing and hedging derivatives).
- Good coding skills, for example in C/C++ or Python.
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