Quant Model Risk Associate - Rates

Fairygodboss; Mumbai; On-site; INR 1,200,000 - 2,000,000; Full time

Job summary

Fairygodboss is seeking a Quant Model Risk Associate in Mumbai, India. The successful candidate will assess and mitigate model risks associated with complex models used for valuation and decision-making. Responsibilities include evaluating model performance, liaising with model developers, and providing guidance on model usage.

Applicants should have an MSc or PhD in a quantitative discipline, along with 3+ years of experience in a quantitative role, excellent communication skills, and strong knowledge of probability theory and numerical analysis.

Qualifications

• 3+ years in a front office or model risk quantitative role.
• Excellent communication skills (written and verbal).
• Inquisitive nature with the ability to ask critical questions.

Responsibilities

• Carry out model reviews and analyze conceptual soundness of complex pricing models.
• Provide guidance on model usage and act as first point of contact for new models.
• Develop and implement alternative model benchmarks and performance metrics.

Skills

Probability theory

Stochastic processes

Statistics

Partial differential equations

Numerical analysis

Probability models for pricing and hedging derivatives

Coding skills (C/C++ or Python)

Education

MSc or PhD in a quantitative discipline

Job description

As a Quant Model Risk Associate you will assess and help mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision‑making purposes. Additionally, you will have an opportunity for exposure to a variety of business and functional areas as well as will work closely with model developers and users.

Responsibilities

• Carriers out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures
• Provides guidance on model usage and act as first point of contact for the business on all new models and changes to existing models
• Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics
• Liaises with model developers, Risk and Valuation Control Groups and provide guidance on model risk
• Evaluates model performance on a regular basis

Required Qualifications

• 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 escalation 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
• 3+ years in a FO or model risk quantitative role

Preferred Qualifications

• Experience with Rates derivatives

We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs.