We are looking for a new member to join our Interest Rates 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 Executive Director you will lead a team that 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 decision-making purposes. Additionally, you will have an opportunity for exposure to a variety of business and functional areas as well as will work closely with model developers and users.

You will also have be expected to train and mentor junior members of the team.

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 Act as Model Review Lead, supervising the work of multiple team members and being responsible for the quality of the reviews they produce. 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 Manage and develop junior members of the team.
 

Required qualifications, capabilities, and skills

extensive work experience in a FO or model risk quantitative role. 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 Extensive knowledge of and experience with interest rates derivatives
 

Preferred qualifications, capabilities, and skills

Experience managing quants.