I am working with a top American Investment Bank who is looking to bring onboard a VP-level Model Risk candidate to work on one of the most technical teams across the firm, and cover the entirety of the modeling life cycle for interest rates derivatives pricing models. This team utilizes some of the most complex and advanced modeling techniques across the industry and is a continuously growing part of the business. This is a senior-facing role with high visibility to senior management on a Global level.
The hire will be responsible for the modeling life cycle of interest rates derivatives models, including the pricing and review, testing and analysis of the conceptual soundness of model design, identifying limitations and building benchmark models, as well as generally serving in a hands-on governance function. It is an extremely technical group that is hands-on and in-the-weeds.
The firm is ideally looking for candidates who are subject matter experts in the area of interest rates derivatives pricing models, at least 6+ years of experience in model validation or development, and a strong quantitative skillset and proficiency in Python will be necessary as well.
- Setting and enhancing model development practice standards and reviewing these as need be
- Analyzing the conceptual soundness of model design, correctness of implementation, etc.
- Model review and challenging of all model activities
- Communicating results of all model limitations and assessments to senior stakeholders
- 6+ years of hands-on model validation or development experience, either first or second line
- Subject matter expert in pricing models for Interest Rates Derivatives
- Excellent communication skills and the ability to work with senior management
- Strong programming skills in Python