Executive Director - MRG Derivative Pricing Models

Corporate - Model Risk Governance and Review - Model Review Group - Derivatives Trading - ED

The Model Review Group (MRG) carries out the independent review of models used across the firm. The group assesses and helps 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.

Derivatives instruments are widely used in the Bank's businesses as part of the core trading activities or for risk management purposes. Derivatives instruments make extensive use of models. These models are subject to validation by MRG.

Model validation includes an evaluation of conceptual soundness; a critical assessment of the testing performed by model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose; designing and conducting experiments to evaluate the model's predictive power and its robustness to a range of market environments, and to identify significant sources of bias or uncertainty through the development and use of alternative benchmark models.

MRG partners with Risk Management and Finance professionals and works closely with Front Office quants as well as traders. Team members have opportunities for exposure to a variety of business areas.

Core responsibilities

- Carrying out a portfolio of model reviews (e.g. pricing engines, products, reserve methodologies) in a trading asset class / product area

- Oversee a team of 3-5 junior reviewers, providing technical guidance and local management

- Communicate review needs and findings to FO quants, traders, Risk and Valuation Control Groups

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (i.e. quantitative models for pricing and hedging derivatives)

- Very strong analytical and problem solving abilities

- PhD or equivalent

- Experience in model development or validation of derivatives pricing models

- Inquisitive nature, risk mindset, ability to ask pertinent questions and escalate issues

- Excellent communication skills (written and verbal)

- Team work oriented

- Project management experience

Desirable Skills, Experience and Qualifications

- Extensive model development (e.g. model design, model implementation, desk support) experience at Financial Firm with top 10 ranking in Tier 1 hybrid/exotic derivatives products

- Experience with Monte Carlo and numerical methods

- C/C++ programming, Python, Visual Basic