MRGR Treasury- Associate

About the role

As a Quant Model Risk Associate in the Model Risk Governance and Review team, you will be responsible for assessing and mitigating the risks associated with the models used by Treasury for resolution and recovery, liquidity, stress testing and budgeting. You'll be at the forefront of innovation, driving continuous improvement in a dynamic and collaborative environment.

What you'll do

• Perform model reviews: evaluate the conceptual soundness of a model, assess its behavior under various market conditions and its suitability in the context of usage
• Guide on model usage and act as the first point of contact for the business on all new models and changes to existing models
• Develop and implement alternative model benchmarks and compare the outcome of various models. Design model performance metrics
• Liaise with model developers, users, and compliance groups, and provide guidance on model risk
• Evaluate model performance on a regular basis

What you need

• 3–6 yrs of experience
• Treasury
• Statistics
• MATLAB
• C++
• Compensation and benefits
• Physics
• PhD

Good to have

• Python
• R
• C
• Performance testing