Quant Model Risk Associate - Rates
On-site · Mumbai, Maharashtra, India
Mumbai, Maharashtra, IndiaOn-siteFull TimeMid LevelDoctorate Or Professional DegreeInvestment BankingEnterprise
Type
Full Time
Level
Mid Level
Education
Doctorate Or Professional Degree
Company size
Enterprise
Industry
Investment Banking
Job Summary
Assess and mitigate the model risk of complex pricing models, engines, and reserve methodologies; provide guidance on model usage and act as first point of contact for the business on new models and changes; develop and implement alternative model benchmarks and performance metrics; liaise with model developers and Risk/Valuation Control Groups; evaluate model performance regularly; exposure to diverse business and functional areas while working closely with model developers and users.
Required Qualifications
- 3+ years in a FO or model risk quantitative role
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
- MSc, PhD or equivalent in a quantitative discipline
- Inquisitive nature, ability to ask right questions and escalate issues
- Excellent communication skills (written and verbal)
- Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
- Good coding skills, for example in C/C++ or Python
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