VP - Rates Validation Quant
Work in a growing Model Risk Management Team
Use up to date Machine Learning and AI technology for risk modeling
About Our Client
My client is a leading Investment Bank based in Manhattan.
MPI does not discriminate on the basis of race, color, religion, sex, sexual orientation, gender identity or expression, national origin, age, disability, veteran status, marital status, or based on an individual's status in any group or class protected by applicable federal, state or local law. MPI encourages applications from minorities, women, the disabled, protected veterans and all other qualified applicants.
· Validate and manage model risk related issues in rates derivatives pricing.
· Provide effective challenge with a specific focus upon mathematical formulation, model assumptions and limitations, calibration, implementation and numerical performance.
· Assess model risk due to model limitations to inform key business partners 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.
· Contribute to strategic initiatives within MRM as needed
The Successful Applicant
· 5-8 years of relevant working experience.
· Master's Degree in STEM or other quantitative fields is required (Mathematics, Physics, Statistics, Financial Engineering, Quantitative Finance etc.); PhD preferred.
· Strong knowledge of interest rates modelling and products, term structure models, and industry practices. Knowledge and understanding of FX and XVA would be a plus.
· Strong quantitative and analytic skills; sound knowledge of stochastic calculus, Monte Carlo simulation, and numerical methods.
· Excellent 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.
What's on Offer
Competitive pay with bonus and benefits.