A top international investment bank is looking for an experienced model risk professional to join their model risk management team. You will be working closely with a great group of very strong quantitative professionals, working with Equities Derivative Pricing models. This is a high exposure role, where this person will have direct exposure to the front office and work closely with the finance and risk teams across the business working on derivative pricing models. Located New York City, this job is a great opportunity you that you don't want to miss out on.
What you can expect to be doing:
- Providing independent review and validation of Equity Derivative Pricing models using quantitative methods
- Presenting findings from your validation works to senior level management and stakeholders
- Working along side risk, front office, and finance business lines
- Providing model governance, developing and maintaining documentation
- Providing independent review and signing off on CCAR/DFAST models
- Acting as a leading team member, that can mentor junior members on the team
What we would like you to bring to the table:
- Serious Market Risk Modeling experience or model validation experience in equity derivative or interest rates
- A masters or PhD (preferred) in a quantitative discipline such as mathematics, physics, econometrics, statistics or financial engineering
- Extensive knowledge of stochastic calculus
- Strong coding and programming skills in C/C++, Python, VBA and SQL
- Strong verbal and written communication skills
- At least 5-7 years of experience working in a relevant position
- Prior experience working in derivative pricing models
