About the Role:

We are hiring for a Quant Model Risk Vice President to join the Interest Rates team within the Model Risk Governance and Review Group at a leading financial institution. As a Quant Model Risk VP, you will assess and help mitigate model risk for complex models used in valuation and risk measurement of derivatives, with a focus on Interest Rates derivatives. You will collaborate with model developers, Front Office, Valuation Control Groups, and model users while gaining exposure across business and functional areas. You will also have managerial responsibility for overseeing, training, and mentoring junior team members.

Key Responsibilities:

- Carry out model reviews by analyzing the conceptual soundness of complex pricing models, engines, and reserve methodologies

- Assess model behavior and suitability of pricing models/engines for specific products and structures

- Provide guidance on model usage; act as 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 & 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

- Exposure to at least one asset class: Interest Rates, FX, Equity, Credit, or Commodities (preferably from a model validation or Front Office perspective)

- MSc, PhD, or equivalent in a quantitative discipline (Mathematics, Quantitative Finance, Statistics, Engineering, Physics, or related)

- Inquisitive mindset - ability to ask the right questions, challenge assumptions, and escalate issues appropriately

- Excellent written and verbal communication skills

- Strong coding skills in C/C++ or Python

Preferred Qualifications:

- Direct experience with Interest Rate derivatives and related pricing models such as SABR and Hull-White

- Familiarity with model risk management frameworks, model governance, benchmarking, and independent model validation