An industry-leading American Investment Bank is looking to hire strong modeling candidates at both the Associate and VP-level to join one of the most technical and quantitative teams in the business to cover the end-to-end model risk management process for interest rates derivatives models. This team is responsible for mitigating the model risk of complex models for the firm used across a variety of different business purposes. This specific hire will be focused on the model risk management of interest rates derivatives models.
This hire will hold a very quantitative and hands-on role, as this specific team is known for being very technical and responsible for the entirety of the modeling life cycle from start to finish. In more specifics, this role will be developing and implementing model benchmarks, designing model performance metrics, analyzing all conceptual soundness of complex pricing models and engines, evaluating model performance on a daily basis, and interfacing with Risk Managers, model developers, and various business lines across the Investment Bank.
The firm is looking for candidates who have hands-on modeling experience of interest rates derivatives models, strong programming skills in Python or C++, strong analytical skills, and a higher education degree in a quantitative discipline. This hire will interact with the trading desks, so excellent communication skills will be necessary.
- Model Risk Management and review of interest rates derivatives models
- Analyzing conceptual soundness of complex pricing models and engines
- Developing and implementing model benchmarks
- Designing model performance metrics
- Interfacing with Risk Managers and the trade floor
- Prior modeling experience and expertise in interest rates derivatives
- Solid understanding of option pricing theory and quantitative modeling techniques
- Strong programming skills in Python or C++
- Excellent analytical and communication skills