The Independent Model Review is a global quantitative and development team with representation in various sites across the world. Markets IMR sub-team independently reviews and approves the Front Office models required for official reporting purposes, traded risk models (Market Risk and Counterparty Risk), ALCO Models and Asset Management models. The members work closely with traders, desk quants, risk managers, IT developers, etc.
This specific position will work in the New York Markets IMR team, with a focus on model review of FO valuation, algo trading, and stress testing models.
- Review and validate FO derivative pricing models, valuation adjustment models, eTrading Algo models, and stress testing models (CCAR), which includes
- Understanding and analysing mathematic soundness of the model
- Designing, implementing and performing tests to assess the model performance and drawing conclusion on model quality
- Writing report to communicating the review assessments with model owners, developers, business, compliance and regulators
- Support business through providing model risk assurance
- Communicate with US regulators to answer their questions and address their concerns
- Enhance IMR review procedure
PhD in a quantitative or computational field (Math, Physics, Engineering, and Computer Science) is preferable, but very capable MS in these fields with 2 years working experience in related modelling areas may also be considered.
Strong background in mathematical finance, derivative pricing models, and numerical techniques for derivative valuation (Monte Carlo methods, PDE solvers) is required.Knowledge on derivative pricing modelling is required.
Knowledge on derivative products, financial market, electronic trading is strongly preferred.
Knowledge on machine learning and data mining is strongly preferred.
Excellent verbal and written skills are a must. Must be able to explain complex and/or technical matters clearly, accurately and simply.
Must have solid programming skills. Must be familiar with at least one data analysis language (Python, R and Matlab). Excel/VBA is a plus.