Job Responsibilities:
- Carry out model reviews by analyzing the conceptual soundness of complex pricing models, engines, and reserve methodologies.
- Assess model behavior and the suitability of pricing models and engines for specific products/structures.
- Provide guidance on model usage and act as the first point of contact for the business on new models and changes to existing models.
- Develop and implement alternative model benchmarks, compare outcomes across models, and design model performance metrics.
- Evaluate model performance on a regular basis.
- Liaise with model developers, Front Office, Risk and Valuation Control Groups to provide guidance on model risk.
- Manage, develop, train, and mentor junior members of the team.
Required Qualifications, Capabilities, and Skills:
- 7+ years of experience in a quantitative finance environment (e.g., Front Office quantitative research, model validation, strats, hedge funds), with exposure to derivatives pricing.
- Strong conceptual and mathematical knowledge of derivatives pricing, simulation techniques, probability theory, stochastic processes, partial differential equations, statistics and numerical analysis.
- Practical knowledge of derivatives, their risk drivers, and quantitative models used for pricing and hedging derivatives.
- Exposure to at least one of the following asset classes: interest rates, FX, equity, credit, or commodities, preferably from a model validation or FO perspective.
- MSc, PhD, or equivalent qualification in a quantitative discipline such as Mathematics, Quantitative Finance, Statistics, Engineering, Physics, or a related field.
- Inquisitive mindset, with the ability to ask the right questions, challenge assumptions, and escalate issues appropriately.
- Excellent written and verbal communication skills.
- Strong coding skills, for example in C/C++ or Python.
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