Model Risk Governance and Review Group (MRGR) carries out the review of models used across the firm and model risk governance. MRGR has a global presence across New York, London, Mumbai, and Paris.
As part of MRGR team, you can expect to deal with developing model risk policy and control procedures, providing guidance on a model’s appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.
Model manager roles within MRGR provide attractive career paths for you as model development and model validation quant in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals, where they act as key stakeholders on day-to-day model-related risk management decisions as well as conduct independent model validation of new and existing models.
Job responsibilities
You will be a member of the team covering equity derivatives models, and will focus on the following activities:
- Carry 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/structures.
- Develop and implement alternative model benchmarks and compare the outcome of various models; design model performance metrics.
- Liaise with model developers, Trading Desk, Risk and Finance professionals to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing
- Maintain model risk control apparatus of the bank for the coverage area & serve as first point of contact
Required qualifications, capabilities, and skills
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.
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
- Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives).
- Experience with Monte Carlo and numerical methods.
- Very strong analytical and problem solving abilities.
- MSc or equivalent.
- C/C++ programming, Python.
- Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal).
- Team work oriented.
Preferred qualifications, capabilities, and skills
The following additional items will be considered but are not required for this role
- Experience with derivatives.