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VP Model Risk Manager

Selby Jennings QRF
Manhattan, United States
Posted about 24 hours ago Hybrid Permanent Negotiable
A top American Investment Bank is looking to a hire a VP for their Interest Rate Derivative Pricing Model Validation team. The team is accountable for validating derivative pricing models for flow and exotic rates products. This team works extremely closely with the front office, as well as the business.

A top American Investment Bank is looking to a hire a VP for their Interest Rate Derivative Pricing Model Validation team. The team is accountable for validating derivative pricing models for flow and exotic rates products. This team works extremely closely with the front office, as well as the business.

For this opportunity, you will be responsible for:

  • Validating interest rate derivatives pricing models and counterparty credit risk models in Python
  • Assessing and quantifying model risk based on model limitations, and informing stakeholders of their risk profile
  • Building and maintaining a C++ pricing library for the pricing of interest rate derivatives in objected-oriented framework
  • Representing the company and speaking to regulators
  • Collaborate with MRM in strategic and cross-functional initiatives
  • For more clarity, the models you will be working with will include:
    • Vanilla LIBOR/CMS cap/floor/swaptions, medium term and floating rate notes, FX barrier CMS, FX implied floating rate leg, total return swap, inflation curve fitters and displaced SABR volatility models

Qualifications

The ideal candidate will also have 3+ years experience, a Masters degree at a minimum, knowledge of XVA and FX, and be both quantitatively sound and strongly communicative. Background in stochastic calculus, Monte Carlo simulations and numerical methods required. Knowledge of Python and C++ is also preferred.

job_description_image
Job ID  PR/369550
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