VP, Senior Rates Quant - Model Validation

Overview:

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, Credit and XVA 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. This role has high visibility and growth potential--clear communication and subject matter expertise are critical. You will be interacting with senior members of the Front Office, Market Risk, Finance, and regulatory agencies as required.

Responsibilities:

• Validate models and manage model risk related issues in rates and municipal derivatives pricing area.
• Provide effective challenge in regards to mathematical formulation, model assumptions and limitations, calibration, implementation, numerical performance, and business uses.
• Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
• Develop independent benchmarking tools for validation purposes across the team.
• Write high-quality model validation documents in compliance with model risk management policy and procedures, internal audio requirements, and regulatory guidance.
• Provide subject matter expertise to stakeholders and guidance to junior team members.
• Represent the firm in interactions with regulatory agencies, as required.
• Contribute to strategic, cross-functional initiatives within MRM as needed.

Qualifications:

• 3+ years of relevant working experience.
• Solid knowledge of interest rates derivatives products and analytics, term structure models, and industry best practices. Knowledge and understanding of FX and XVA would be valuable.
• Excellent quantitative and analytic skills, including stochastic calculus, Monte Carlo simulation, and numerical methods.
• Strong communication and documentation skills are required.
• Ability to work independently as a validator as well as collaboratively as a team player.
• Working experience of Python is strongly preferred; knowledge of C++ is a plus.
• Master’s Degree or equivalent in a quantitative field (e.g. Mathematics, Physics, Engineering, Quantitative Finance, Statistics) is required; PhD preferred.
• Candidates who do not meet these criteria but with exceptional skills and academic qualification and/or certifications may be considered for the role.