Equity and Derivative- Quant Modelling VP

As a Quant Model Risk Associate/VP in the Interest Rates team of Model Risk Governance and Review Group, your primary role will be to assess and mitigate the model risk of complex models used for valuation, risk measurement, capital calculation, and decision-making purposes. You will have the opportunity to collaborate with various business areas and closely work with model developers and users. Key Responsibilities: - Conduct model reviews to analyze the conceptual soundness of pricing models, engines, and reserve methodologies. - Assess model behavior and suitability of pricing models/engines for specific products/structures. - Provide guidance on model usage and serve as the primary contact for business inquiries regarding new models and changes to existing models. - Develop alternative model benchmarks, compare outcomes of different models, and design model performance metrics. - Collaborate with model developers, Risk and Valuation Control Groups, and offer guidance on model risk assessment. - Regularly evaluate model performance. - Manage and mentor junior team members. Qualifications Required: - Strong background in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis. - MSc, PhD, or equivalent in a quantitative discipline. - Inquisitive nature with the ability to ask relevant questions and escalate issues. - Excellent written and verbal communication skills. - Solid understanding of option pricing theory and quantitative models for pricing and hedging derivatives. - Proficiency in coding, such as C/C++ or Python. - 3+ years of experience in a FO or model risk quantitative role. If you possess the aforementioned qualifications and are enthusiastic about joining our team, we encourage you to apply for this role. Experience with interest rates derivatives is a plus but not mandatory for consideration.,