Rates Model Risk Associate/VP

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 purposes. Your responsibilities will include: - Carrying out model reviews to analyze 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 regarding new models and changes to existing models. - Developing and implementing alternative model benchmarks, designing model performance metrics, and comparing the outcomes of various models. - Collaborating with model developers, Risk and Valuation Control Groups, and providing guidance on model risk. - Evaluating model performance regularly. - Managing and mentoring 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 the right questions and escalate issues. - Excellent communication skills (both written and verbal). - Good understanding of option pricing theory, including 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. 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. (Note: No additional details about the company were provided in the job description),