Sr. Analyst

About the role

The bank is looking for a quantitative finance analyst in the Global Markets (GM) Model Risk Management team. GM Model risk management team provides independent oversight and validation of pricing models.

What you'll do

• Independently validate pricing and risk models used for valuation, risk management, and regulatory capital calculations of Equity Derivatives products
• Review model assumptions, mathematical formulations, numerical methods, calibration frameworks, implementation, limitations
• Assess theoretical soundness of pricing methodologies including stochastic volatility models, local volatility models, jump-diffusion models, and correlation frameworks
• Perform independent quantitative testing, benchmarking, sensitivity analysis, stress testing, back-testing
• Evaluate model calibration approaches, market data dependencies, and valuation adjustments associated with equity derivatives portfolios

What you need

• 5–8 years in data & business analytics
• Capital markets
• Valuation
• Market risk
• Stakeholder management
• Physics
• Performance testing
• PhD or CFA

Good to have

• Python
• CFA
• C++
• Internal audit
• Credit risk

What you get