A leading derivatives clearinghouse is hiring a hands-on Director to lead the Derivative Pricing Model life cycle. This is an instrumental hire in the effort to optimize settlement and reduce risk by over $3 trillion.
The firm is building out it's model risk group across the USA, and this Director will manage 1-4 direct reports on the Model Validation team. This individual will be regularly involved in day to day quantitative analysis while managing junior members of the team.
Responsibilities:
- Oversee the full risk model life cycle and lead end to end model validations
- Manage a team building challenger models and performing quantitative analysis on derivative pricing and valuation
- Liaise with model development and quant teams to challenge model building methodology
- Present monthly to the model risk committee and senior risk personnel
Qualifications:
- 8+ years in a quantitative Model Risk Management position
- Master's Degree required, PhD preferred
- Strong knowledge of derivative/option pricing, VaR modelling and backtesting, curve building methodology, prepayment modelling, and risk sensitivities/Greeks
- Strong written and verbal communication and prior management experience
- Proficiency in Python, R, SQL, MATLAB, and/or C++
