A top American investment bank is currently in a steady growth state, and looking to make a crucial growth hire within their Model Risk Management team. This team is looking to fill an senior level role specifically covering rates pricing model validation. As this person will be a more senior and experienced member of the team in this office, they will need to be fluent in derivative pricing for flow and exotic rates products and modelling methodologies. They would ideally have experience working with Front Office models. This person will be facing off with senior stakeholders on a regular basis, as well as the regulators. This is a highly visible role with great growth potential, as you will be working along side Front Office, Market Risk, Finance and Regulatory teams daily. Located in Tampa, FL this is an opportunity you do not want to miss out on!
What You Will Be Doing:
- Validating and managing model risk issues for rates derivative pricing models
- Challenging model assumptions, mathematical formulations, and implementation
- Developing benchmark tools for validation uses across the team
- Assessing and quantifying model risk in accordance with limitations
- Advising stakeholders of their risk profiles and developing controls
- Providing high quality model validation documentation in compliance with model risk management policy
What We Need to See From You:
- At least a master's degree in a quantitative field such as mathematics, statistics, financial engineering etc.
- 6-8 years of fulltime (non-internship) work experience in a relevant quantitative discipline (fewer years of experience will be considered for candidates with higher academic degrees such as a second masters or a PhD)
- High level knowledge of interest rates modelling and products is required
- Knowledge and understanding of FX and XVA for rates is encouraged
- Excellent quantitative and technical skills
- Working experience with Python is preferred, and knowledge of C++ is a plus