This model validation role requires knowledge of rates products (flow, exotic) and strong derivative pricing skills. Validation work will involve reviewing model assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls. This position will have high visibility as the successful candidate will face off with stakeholders in the business, development group, risk management, model governance, and regulatory agencies.

Qualifications

• Minimum of a Master's degree in a quantitative field (finance, physics, mathematics, computer science, etc.)
• Experience in rates modeling and derivative products
• Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in C++/python).
• Strong communication skills with the ability to find practical solutions to challenging problems
• Team work and commitment a must.

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Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US

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Time Type :Full time

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