AVP/ VP - Model Monitoring - Market Risk Domain ONLY

Job Description

The team works in various asset classes like Interest Rate, Credit, Equity, Commodity, FX and XVA on models that are used for pricing, risk management and stress testing. Work activities include but will not be limited to the data and code preparation, data analysis, model testing and documentation of assigned model In this role, you will: Perform highly complex activities related to creation, implementation, and documentation Use highly complex statistical theory to quantify, analyze and manage markets Forecast losses and compute capital requirements providing insights, regarding a wide array of business initiatives Utilize structured securities and provide expertise on theory and mathematics behind the data Manage market, credit, and operational risks to forecast losses and compute capital requirements Participate in the discussion related to analytical strategies, modeling and forecasting methods Identify structure to influence global assessments, inclusive of technical, audit and market perspectives Collaborate and consult with regulators, auditors and individuals that are technically oriented and have excellent communication skills Required Qualifications: Master's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, or computer science Desired Qualifications: Participating in the creation, execution and development of Front Office test plans Participation in the creation, execution and development of model monitoring plans Checking the consistency and accuracy of quantitative models Performing an extensive set of tests to ensure that Front Office models are robust, consistent and well-behaved under current and distressed market conditions. These activities are formally part of the model development process, and should not be confused with testing that is performed as part of the independent model validation process Writing code (Python, VBA, C++ etc.) and refactoring code Support the Trading Desk if required on any quant related issues Compiling and presenting results Participating in the production of formal summary and analysis documentation and reporting Actively participating and contributing in team discussions on project specific areas/assignments Maintaining proper documentation of all processes and keeping the code up to date Answering ad hoc questions from various stakeholders including US Front Office Quants, populating templates or creating new reports/extracts as requested by stakeholders A Masters or PhD in a quantitative field such as math, statistics, engineering, physics, economics, computer sciences, etc. 4+ Years of experience in Quantitative Analytics and Derivative Pricing Computer programing skills (Python, VBA, C++ or other programming languages) Writing documents using Microsoft Office tools, LaTeX or other word processing programs Ability to learn quickly and work collaboratively within a team in a dynamic and fast paced environment with multiple responsibilities but still following strict deadlines Job Expectations: Strong mathematical, statistical, analytical and computational skills Good knowledge of financial mathematics and financial models Good verbal, written, presentation and interpersonal communication skills Strong programing skills and use of software packages such as Python, VBA, C++ Eagerness to contribute collaboratively on projects and discussions