Quant Model Risk Associate - FX and Emerging Markets

We are looking for a new member to join our FX and Emerging Markets team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm. We adopt a comprehensive model risk management approach, assessing models within their usage context and based on relevant success criteria. Our role involves identifying limitations, communicating them effectively, and assisting model users in the design compensating controls. This approach requires strong technical skills and business understanding, offering an excellent opportunity for skill development, setting us apart from typical validation teams.

As a Quant Model Risk Associate within our Risk Management team, you will assessand helpmitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes. Additionally, you will have an opportunity for exposure to a variety of business and functional area as well as will work closely withmodel developers and users.

Job responsibilities

• Carryoutmodelreviews:analyzeconceptualsoundnessof complex pricingmodels,engines,andreservemethodologies;assessmodelbehaviorandsuitabilityof pricingmodels/enginestoparticularproducts/structures
• Provide guidance on model usage and act as first point of contact for the business on all new models and changes to existing models
• Developandimplementalternativemodelbenchmarksandcompare theoutcomeofvariousmodels;Designmodelperformancemetrics
• Liaisewithmodel developers,RiskandValuationControlGroupsandprovideguidanceonmodelrisk
• Evaluate model performance on a regular basis

Required qualifications, capabilities, and skills

• Excellenceinprobabilitytheory,stochasticprocesses,statistics,partialdifferentialequations,andnumericalanalysis
• MSc, PhD orequivalent in a quantitative discipline
• Inquisitivenature,abilitytoaskrightquestionsandescalateissues
• Excellentcommunicationskills(writtenandverbal)
• Goodunderstandingof optionpricingtheory(i.e.quantitativemodelsforpricingandhedgingderivatives)
• Good coding skills, for example in C/C++or Python

Preferred qualifications, capabilities, and skills

• ExperiencewithFX derivatives
• Experience in a FO or model risk quantitative role.