Model Validation, Rates Pricing Quant - VP Model Validation, Rates Pricing Quant - VP …

Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 17 Oct 20
Negotiable
Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 17 Oct 20
Negotiable
Selby Jennings QRF
A top American investment bank is hiring within its Model Risk Management group and is looking for an experienced candidate with a strong technical background in Rates to join their growing team! This role requires you to be fluent in derivative pricing for flow and exotic rates products and modelling methodologies, either from working in the Front Office or a Model Validation role.

A top American investment bank is hiring within its Model Risk Management group and is looking for an experienced candidate with a strong technical background in Rates to join their growing team! This role requires you to be fluent in derivative pricing for flow and exotic rates products and modelling methodologies, either from working in the Front Office or a Model Validation role. In this role, you will need to be able to work well with senior level stakeholders within the business and collaborate with regulators on a consistent basis, as this opportunity offers high visibility and growth potential within the business. You will be working with Front Office, Market Risk, Finance and regulatory agencies regularly. Located in New York City, if you are interested in this role and feel that your skill set aligns with the requirements, please apply in!

What You Will Find Yourself Doing:

  • Validating and managing model risk issues in relation to rates derivatives pricing
  • Challenging mathematical formulations, model assumptions and limitations, calibrations, implementation, numerical performance, and business usage
  • Developing independent benchmarking tools for validation purposes across the team
  • Contributing to strategic, cross-functional initiatives within MRM
  • Assessing and qualifying model risk due to model limitations
  • Informing stakeholders of their risk profile and development of compensating controls

What We Require from You:

  • At least 3 years of relevant working experience
  • At least a Masters degree in a quantitative field (Mathematics, Physics, Statistics, Financial Engineering etc.); A PhD is highly encouraged and may offset a year or two of experience for a strong candidate
  • Exceptional knowledge of interest rates modelling and products, term structure models, and industry best practices.
  • Knowledge of FX and XVA would be very valuable in this role and highly looked upon
  • Working knowledge of Python is strongly preferred and knowledge of C++ is appreciated
  • A firm understanding of model risk management regulatory guidance SR 11-7 is expected
  • Strong Communication and documentation skills are required
  • Strong quantitative and analytic skills: knowledge of stochastic calculus, Monte Carlo simulation, and numerical methods
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