Model Governance , Aladdin Financial Engineering - Associate

Job Description

Job Responsibilities Model Governance: work on the research and development of a model surveillance and model performance framework for the Single Securities Pricing Team (SSP), primarily focused on interest rate derivative models. Responsibilities will include implementation and maintenance of the model surveillance and performance monitoring infrastructure for the models supported by the team.Typically, this involvesquantitativeanalysisof derivativemodel output andimplementation of functions/applications, in Python,to compute thresholdsandmonitoring ofdailyvalues. Enhance model documentation for a suite of pricing models supported by the team. Collaborate with the second line validation team in all aspects of model validation and compliance. Thought Leadership: keep abreast ofrecent trendsin quantitative finance, capital markets and government regulation. Bring the latest techniques to bear on the problems we face in our day-to-day work. Closely collaborate with model owners to enhance the models based on findings. Qualifications An undergraduate degree in a quantitative field such as Math, CS,Engineeringor Physics isrequired. An advanced degree is a plus, butunderstandingmodeling is more important than formal qualifications. Understanding of Fixed Income valuation and modelling concepts including but not limited to yield curve contraction techniques, risk-neutral pricing framework, and routes to calibrate the stochastic models. Coding is at the heart of everything we do.Expertisein Python and familiarity with C++ is needed. You are expected to have theexpertiseto develop Python applicationsleveragingin-house Python/C++ libraries. An Analytical Frame of Mind: keen interest in solving analytical problems is key. Excellent Communication Skills: you will be interacting with other teams in the firm. The ability to explain your research and results to your non-technical counterparts in terms that they can follow is important.