Quantitative Finance Analyst

About the role

The Market Risk Model Risk Management (MRM) team provides independent oversight and validation of market risk models used across a broad range of asset classes, including interest rates, foreign exchange, commodities, inflation, equity, credit, and mortgage products.

What you'll do

• Conduct independent validation of market risk models across major asset classes including Interest Rates, Foreign Exchange, Inflation, Equities, Commodities, Credit
• Assess model conceptual soundness and regulatory compliance through comprehensive review of model assumptions, methodology, mathematical framework, empirical evidence
• Design and execute independent challenger analyses and testing, including benchmarking, sensitivity analysis, stress testing, back-testing, outcome analysis
• Evaluate model governance and controls in alignment with the Bank's Model Risk Management framework and regulatory expectations, including SR 11-7 and SR 26-2 guidance
• Prepare high-quality validation reports and technical documentation that clearly communicate validation findings, model limitations, risk assessments, recommendations

What you need

• 7–10 yrs of experience
• Python
• Statistics
• R
• Market risk
• Performance testing
• CRM
• CFA or PhD

Good to have

• CFA
• Data analysis
• Valuation
• C++
• Physics