Model Risk Governance and Review (MRGR) is responsible for end-to-end model risk management across the firm. As a part of the team 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
You will be a member of the MRGR Group covering Interest Rates, and will focus on the following activities:
- Carrying 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.
- Providing guidance on model usage and being a first point of contact for the business on all new models and changes to existing models.
- Development and implementation of alternative model benchmarks and comparison of the outcome of various models;
- Design of the model performance metrics.
- Liaising with model developers, Risk and Valuation Control Groups and provide guidance on model risk.
- Evaluation of model performance on a regular basis.
Required qualifications, capabilities, and skills
- Fluent in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
- Very strong analytical and problem solving abilities.
- MSc, PhD or equivalent in a quantitative discipline.
- Inquisitive nature, ability to ask 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
Preferred qualifications, capabilities, and skills
- Trading desk support, model validation, or model developer experience.
- Experience with interest rates derivatives
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