We are looking for a new member to join our Commodities team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm. 

As a Quant Model Risk Associate within our Risk Management team, you will be responsible for assessing and mitigating the risks associated with complex models used for valuation, risk measurement, capital calculation, and decision-making purposes. This role also provides the opportunity to gain exposure to various business and functional areas, as well as collaborate closely with model developers and users.

Job responsibilities

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; Design model performance metrics Liaises with model developers, Risk and Valuation Control Groups and provide guidance on model risk Evaluates model performance on a regular basis

Required qualifications, capabilities, and skills

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 Excellent communication skills (written and verbal) Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives) Good coding skills, for example in C/C++ or Python

Preferred qualifications, capabilities, and skills

Experience with commodity derivatives Experience in a FO or model risk quantitative role.