Quant Model Risk Associate

Quant Model Risk Associate focuses on review group which is responsible for end-to-end model risk management across the firm.

What the role involves

• Review Group which is responsible for end-to-end model risk management across the firm.
• Review team, you will assess and help mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for.
• Carries out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies.
• Assess model behavior and suitability of pricing models/engines to particular products/structures.
• Provides guidance on model usage and act as first point of contact for the business on all new models and changes to existing models.
• Develop and implement alternative model benchmarks and compare the outcome of various models.

Skills and requirements

• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
• MSc, PhD or equivalent in a quantitative discipline.
• Inquisitive nature, ability to ask right questions and escalate issues.
• Good understanding of option pricing theory (. quantitative models for pricing and hedging derivatives).