Quant Model Risk Associate - FX and Emerging Markets
On-site · London, England, United Kingdom
Job Summary
Quant Model Risk Associate within our Risk Management team to assess and mitigate model risk of complex models used in valuation, risk measurement, and capital calculation. Responsibilities include carrying out model reviews of pricing models, engines, and reserve methodologies; advising on model usage; designing model performance metrics; liaising with model developers and risk/control groups; and evaluating model performance regularly. Strong analytical background in quantitative methods and coding in C/C++ or Python is required; experience with FX derivatives and prior work in a FO/model risk quantitative role is preferred.
Required Qualifications
- MSc, PhD or equivalent in a quantitative discipline
- Excellent communication skills (written and verbal)
- Good coding skills, e.g. in C/C++ or Python
- Good understanding of option pricing theory (quantitative models for pricing and hedging derivatives)
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
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