Model Risk Associate/Vice President
On-site · London, England, United Kingdom
Job Summary
Model Risk Associate in the Model Risk Governance and Review team, focusing on reviewing equity derivatives models and enhancing model risk governance. Collaborate with model developers, trading desks, and risk professionals to ensure soundness and appropriate usage of pricing models. Responsibilities include analyzing conceptual soundness of pricing models and reserve methodologies, developing and implementing alternative model benchmarks and performance metrics, liaising with stakeholders to provide guidance on model risk, and maintaining the model risk control apparatus as the first point of contact for the coverage area. Requires MSc or equivalent, strong C/C++ and Python skills, and a solid foundation in probability, statistics, numerical analysis, and option pricing.
Required Qualifications
- MSc or equivalent in a relevant field
- Proficiency in C/C++ programming
- Proficiency in Python
- Strong understanding of probability theory, stochastic processes, statistics, and numerical analysis
- Experience with Monte Carlo and numerical methods
- Knowledge of option pricing theory and quantitative models for derivatives
- Strong analytical and problem-solving abilities
- Inquisitive nature with excellent communication skills
- Teamwork-oriented mindset
- Experience with equity derivatives (preferred)
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