- This role sits in the rates pricing model validation team in Model Risk Management (MRM).
- The position requires an experienced candidate with strong technical, leadership, and organizational skills.
- The candidate should be fluent in derivative pricing for flow and exotic rates products and modelling approaches, and should have experience developing models either in a Front Office or Model Validation role.
- Knowledge and understanding of FX and XVA for rates would be valuable.
- Experience with Markov Functional modeling is preferred.
- A firm understanding of model risk management regulatory guidance SR 11-7 as it relates to effective model validation practices is expected.
- The ability to work well with senior stakeholders within the firm and with our regulatory colleagues is essential.
- Ability interact with senior members of the Front Office, Market Risk, Finance, and regulatory agencies as required.
- Validate and manage model risk related issues in rates derivatives pricing.
- Provide effective challenge to model assumptions, mathematical formulation, implementation, and
- Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
- Master degree required; PhD preferred in quantitative discipline (
- mathematics, financial engineering, quantitative finance, mathematical finance, statistical analysis).
- 7+ years of experience in interest rates model development or validation role.
- Solid knowledge of interest rates modelling and products, term structure models, and industry best practices. Knowledge and understanding of FX and XVA for rates would be valuable.
- Excellent quantitative and analytic skills; sound knowledge of stochastic calculus, Monte Carlo simulation, and numerical methods.