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North America-United States-New York-New York
Lead review and validation of FO derivative pricing models, valuation adjustment models, eTrading Algo models, and stress testing models (CCAR). Understanding and analyzing mathematic soundness of the model. Designing, implementing and performing tests to assess the model performance and drawing conclusion on model quality. Writing report to communicating the review assessments with model owners, developers, business, compliance and regulators. Being the lead reviewer for certain asset class or modelling area and coaching and supervising junior team members in performing reviews. Review model risk of on-demand business initiatives. Support business through providing model risk assurance. Communicate with US regulators to answer their questions and address their concerns. Enhance IMR review procedure.
TO APPLY: Must apply via email by sending resume to [email protected] and must reference “Job Code: 3271” to be considered.
Must have a Master’s degree in Math, Physics, Engineering, Computer Science or a related quantitative or computational field, and 4 years of modeling or model review work experience.
Qualifying experience must include:
- Mathematical finance, derivative pricing, and numerical techniques for derivative valuation including Monte Carlo methods and PDE solvers.
- Common derivative models including multi-factor Hull-White, BGM/LMM, Hazard rate, Copula, correlation models and Local volatility/Stochastic local volatility.
- Building yield and credit curves and familiar with market conventions for Fixed income, Credit, FX and Equity products.
- At least 2 of Bloomberg and vendor systems (Polypaths, Murex or Calypso)
- Programming skills including at least one Object-oriented programming (C++ or Java), and one data analysis language (Python, R or Matlab)
- Machine learning and data mining applications in financial modeling
- Data mining and data analysis and familiar with one of the cloud computing platform (GCP, AWS, or similar)
- Model development or validation projects, including coaching and supervising junior offshore team members
- Back testing, stress testing, statistical tests, benchmark analysis, sensitivity analysis and scenario analysis