Quant Model Risk Associate – Rates

Overview

In this role you assess and mitigate the risk of complex pricing and valuation models used for risk, capital, and decision-making. You will collaborate with model developers and users across the firm, providing guidance on model usage and changes. You’ll develop benchmarks and performance metrics to compare models and support independent model risk oversight. This position offers exposure to multiple business areas and a focus on quantitative methods in a globally leading financial institution.

Responsibilities

• conduct model reviews to assess conceptual soundness of pricing models, engines, and reserve methodologies
• evaluate model behavior and suitability for specific products/structures
• advise on model usage and act as the first point of contact for new or changed models
• develop and implement benchmarks and compare outcomes across models; design performance metrics
• liaise with model developers, Risk and Valuation Control Groups to guide model risk
• regularly evaluate model performance

Key requirements

• excellence in probability theory, stochastic processes, statistics, PDEs, and numerical analysis
• MSc, PhD or equivalent in a quantitative discipline
• inquisitive nature with ability to ask the right questions and escalate issues
• excellent written and verbal communication skills
• good understanding of option pricing theory and derivatives pricing/hedging models
• strong coding skills in C/C++ or Python

• inquisitive nature
• strong communication (written and verbal)
• ability to collaborate across teams
• probability theory
• stochastic processes
• statistics

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