Rates Model Risk Associate/VP

As a Quant Model Risk Associate/VP in the Interest Rates team of Model Risk Governance and Review Group, you will be responsible for assessing and mitigating the model risk of complex models used for valuation, risk measurement, capital calculation, and decision-making purposes. Your role will involve conducting model reviews, providing guidance on model usage, developing alternative model benchmarks, liaising with stakeholders, evaluating model performance, and managing junior team members. Key Responsibilities: - Analyze 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 be the first point of contact for new models and changes - Develop and implement alternative model benchmarks and design model performance metrics - Liaise with model developers, Risk and Valuation Control Groups, and offer guidance on model risk - Regularly evaluate model performance - Manage and develop junior team members Qualifications Required: - 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 pertinent questions and escalate issues - Excellent written and verbal communication skills - Good 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 are excited to join our organization and meet the minimum requirements mentioned above, we encourage you to apply for this role. Experience with interest rates derivatives will be a plus but is not mandatory for this position.,