Quant Model Risk Senior Associate/Vice President – Rates

Overview

As Quant Model Risk VP in the Interest Rates group, you will evaluate and mitigate risks in complex pricing and risk-measurement models used for interest rate derivatives. You will partner with model developers, risk, and valuation control teams, and guide model usage for new and existing models. You will design benchmarks, performance metrics, and oversee junior team members. This role offers cross-functional exposure and a chance to impact firm-wide model risk practices in a global bank setting.

Responsibilities

• Conduct model reviews of pricing engines and reserve methodologies for conceptual soundness
• Assess model behavior and suitability for specific products/structures
• Provide guidance on model usage and serve as the first point of contact for new/updated models
• Develop and implement alternative benchmarks; design model performance metrics
• Collaborate with model developers, Risk, and Valuation Control Groups to guide model risk
• Evaluate model performance regularly
• Manage and develop junior team members

Key requirements

• 5+ years in a front-office or model risk quantitative role
• Strong grounding in probability theory, stochastic processes, statistics, PDEs, and numerical analysis
• MSc, PhD or equivalent in a quantitative discipline
• Inquisitive nature and ability to ask the right questions and escalate issues
• Excellent written and verbal communication skills
• Solid understanding of option pricing theory for pricing and hedging derivatives
• Strong coding skills in C/C++ or Python

• inquisitive nature
• excellent communication
• ability to escalate issues
• probability theory
• stochastic processes
• statistics

…