Rates Model Risk Associate/VP

3 - 7 years

0 Lacs

Posted:3 weeks ago| Platform: Shine logo

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Work Mode

On-site

Job Type

Full Time

Job Description

As a Quant Model Risk Associate/VP in the Interest Rates team of the Model Risk Governance and Review Group, you will play a crucial role in assessing and mitigating model risk associated with complex models used for valuation, risk measurement, capital calculation, and decision-making. Your responsibilities will include: - Carrying out model reviews by analyzing the conceptual soundness of pricing models, engines, and reserve methodologies - Providing guidance on model usage and acting as the first point of contact for the business on new models and changes to existing models - Developing and implementing alternative model benchmarks, designing model performance metrics, and comparing outcomes of various models - Liaising with model developers, Risk and Valuation Control Groups, and providing guidance on model risk - Evaluating model performance regularly - Managing and developing junior team members Qualifications required for this role: - Excellence 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 the right questions and escalate issues - Excellent communication skills (written and verbal) - Good understanding of option pricing theory and quantitative models for pricing and hedging derivatives - Proficiency in coding, for example, in C/C++ or Python - 3+ years of experience in a FO or model risk quantitative role Additionally, the following qualifications are preferred but not required: - Experience with interest rates derivatives If you are excited about the opportunity to join our organization and meet the minimum requirements listed above, we encourage you to apply for this role.,

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