Quant Model Risk Vice President

About the role

We are looking for a new member to join our Interest Rates team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm. As a Quant Model Risk Vice President you will assess and help mitigate the model risk of complex models used in the context of valuation and risk measurement for Interest Rate derivatives.

What you'll do

• Provides guidance on model usage and act as 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
• Liaises with model developers, Risk and Valuation Control Groups and provide guidance on model risk
• Evaluates model performance on a regular basis
• Manage and develop junior members of the team

What you need

• 7–13 yrs of experience
• Capital markets
• Valuation
• Statistics
• C++
• C
• Python
• M.Sc or PhD