The business is looking to hire an an experienced senior-level VP Rates Quant Model Validator to join their rates pricing model validation team. This team sits within their Model Risk Management (MRM) team, and is a very hands-on team with a very strong reputation in the market, high-visibility, and high growth potential in the market.
Overview
For this opportunity, you will be tasked with assessing and quantifying model risk due to model limitations, contributing to strategic, cross-functional initiatives within the MRM team, developing independent benchmarking tools for validation purposes and providing effective challenges to mathematical formulation, model assumptions and limitations, calibration, implementation, numerical performance and business uses. This individual will also need a strong working understanding of FX, Credit and XVA, as well as regulatory standards such as SR 11-7.
Some models and asset classes you can expect to work with:
- FX, XVA knowledge preferred, Monte Carlo Simulations, Interest Rates Modeling and Products, Term Structure, Industry Best Practices
Qualifications
- 7+ years of relevant working experience.
- Master's Degree or equivalent in STEM or other quantitative fields (Mathematics, Physics, Engineering, Statistics, Quantitative Finance) is required; PhD preferred.
- Solid knowledge of interest rates modelling and products, term structure models, and industry best practices. Knowledge and understanding of FX and XVA would be valuable.
- Excellent quantitative and analytic skills; sound knowledge of stochastic calculus, Monte Carlo simulation, and numerical methods.
- Strong communication and documentation skills are required.
- Ability to work independently as a validator as well as collaboratively as a team player.
- Working experience of Python is strongly preferred; knowledge of C++ is a plus.
- Candidates who do not meet these criteria but with exceptional skills and academic qualification and/or certifications may be considered for the role.
