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Director - Derivative Pricing Models

Selby Jennings QRF
Manhattan, United States
Posted about 4 hours ago Hybrid Permanent Negotiable
A leading derivatives clearinghouse is hiring a hands-on Director to lead the Derivative Pricing Model life cycle. This is an instrumental hire in the effort to optimize settlement and reduce risk by over $3 trillion.

A leading derivatives clearinghouse is hiring a hands-on Director to lead the Derivative Pricing Model life cycle. This is an instrumental hire in the effort to optimize settlement and reduce risk by over $3 trillion.

The firm is building out it's model risk group across the USA, and this Director will manage 1-4 direct reports on the Model Validation team. This individual will be regularly involved in day to day quantitative analysis while managing junior members of the team.

Responsibilities:

  • Oversee the full risk model life cycle and lead end to end model validations
  • Manage a team building challenger models and performing quantitative analysis on derivative pricing and valuation
  • Liaise with model development and quant teams to challenge model building methodology
  • Present monthly to the model risk committee and senior risk personnel

Qualifications:

  • 8+ years in a quantitative Model Risk Management position
  • Master's Degree required, PhD preferred
  • Strong knowledge of derivative/option pricing, VaR modelling and backtesting, curve building methodology, prepayment modelling, and risk sensitivities/Greeks
  • Strong written and verbal communication and prior management experience
  • Proficiency in Python, R, SQL, MATLAB, and/or C++
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Job ID  PR/366098
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