The business is looking to hire an an experienced senior-level VP Rates Quant Model Validator to join their rates pricing model validation team. This team sits within their Model Risk Management team, and is a very hands-on team with a very strong reputation in the market, high-visibility, and high growth potential in the market.
Considering this is a very hands-on team, the bank is looking to hire someone with 7+ years of experience, strong coding skills in Python or R, and the ability to communicate and build relationships with front-office partners.
Responsibilities:
- Assessing and quantifying model risk due to model limitations
- Contributing to strategic, cross-functional initiatives with internal teams
- Developing independent benchmarking tools for validation purposes
- Providing effective challenges to mathematical formulation, model assumptions and limitations and business uses
- Working on regulatory standards and regulatory agencies, primarily in SR 11-7 and working with the FRB and OCC
- Working primarily with Interest Rate Derivative Pricing Models
Qualifications:
- Solid knowledge of interest rates modelling and products, term structure models, and industry best practices. Knowledge and understanding of FX and XVA would be valuable
- Master's Degree or equivalent in STEM or other quantitative fields (Mathematics, Physics, Engineering, Statistics, Quantitative Finance) is required; PhD preferred
- Working experience of Python is strongly preferred; knowledge of C++ is a plus
- Excellent quantitative and analytic skills; sound knowledge of stochastic calculus, Monte Carlo simulation, and numerical methods
- Strong communication skills for cross-functional initiatives, as well as working with external regulators
