As a Quant Model Risk Associate 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 area as well as will work closely with model developers and users.

Job responsibilities

Carries out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structuresProvides guidance on model usage and act as first point of contact for the business on all new models and changes to existing modelsDevelop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metricsLiaises with model developers, Risk and Valuation Control Groups and provide guidance on model riskEvaluates model performance on a regular basis

Required qualifications, capabilities, and skills

Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysisMSc, PhD or equivalent in a quantitative disciplineInquisitive nature, ability to ask right questions and escalate issuesExcellent 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 Python3+ years in a FO or model risk quantitative role.

Preferred qualifications, capabilities, and skills

Experience with Rates derivatives