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Job Title: Quant Model Risk Vice President
We are looking for a new member to join our Interest Rates team in the Model Risk Governance and Review Group, responsible for end-to-end model risk management across the firm.
As a Quant Model Risk Vice President, you will assess and help mitigate the model risk of complex models used in valuation, risk measurement, capital calculation, and decision-making. You will also have exposure to various business and functional areas and will work closely with model developers and users.
You will have managerial responsibilities, including overseeing, training, and mentoring junior team members.
Job Responsibilities
1. Carry out model reviews: analyze the conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability for specific products/structures.
2. Provide guidance on model usage and serve as the first contact for the business regarding new models and modifications to existing models.
3. Develop and implement alternative model benchmarks and compare outcomes; design model performance metrics.
4. Liaise with model developers, Risk and Valuation Control Groups, providing guidance on model risk.
5. Manage and develop junior team members.
Required Qualifications, Capabilities, and Skills
1. Significant experience in a front-office or model risk quantitative role.
2. Expertise in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
3. Inquisitive nature with the ability to ask the right questions and escalate issues.
4. Excellent written and verbal communication skills.
5. Good understanding of option pricing theory and quantitative models for pricing and hedging derivatives.
6. Proficient coding skills, such as in C/C++ or Python.
Preferred Qualifications, Capabilities, and Skills
1. Experience with interest rate derivatives.
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Created on 26/04/2025 by TN, United Kingdom
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