Quant Model Risk Associate - Rates

慨正橡扯; Mumbai; On-site; INR 1,500,000 - 2,400,000; Full time

Job summary

A leading global financial services firm is seeking a Quant Model Risk Associate in Mumbai, India. The role involves assessing model risk of complex models for valuation and decision-making. Responsibilities include analyzing pricing models, providing guidance on model usage, and evaluating model performance. Candidates should hold an MSc or PhD in a quantitative field, possess excellent communication skills, and 3+ years of experience in a quantitative role. Strong coding skills in C/C++ or Python are required.

Qualifications

• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis.
• Inquisitive nature and strong problem-solving skills.
• Good coding skills in C/C++ or Python.
• 3+ years in a FO or model risk quantitative role.

Responsibilities

• Analyze conceptual soundness of complex pricing models.
• Provide guidance on model usage and act as the first contact for new models.
• Develop and implement alternative model benchmarks.
• Evaluate model performance regularly.

Skills

Probability theory

Statistics

Stochastic processes

Numerical analysis

Communication skills

C/C++ or Python coding

Education

MSc, PhD or equivalent in a quantitative discipline

Job description

As a Quant Model Risk Associate you will assessand helpmitigate 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 area as well as will work closely withmodel developers and users.

Job responsibilities

• Carriesoutmodelreviews:analyzeconceptualsoundnessof complex pricingmodels,engines,andreservemethodologies;assessmodelbehaviorandsuitabilityof pricingmodels/enginestoparticularproducts/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
• Developandimplementalternativemodelbenchmarksandcompare theoutcomeofvariousmodels;Designmodelperformancemetrics
• Liaiseswithmodel developers,RiskandValuationControlGroupsandprovideguidanceonmodelrisk
• Evaluates model performance on a regular basis

Required qualifications, capabilities, and skills

• Excellenceinprobabilitytheory,stochasticprocesses,statistics,partialdifferentialequations,andnumericalanalysis
• MSc, PhD orequivalent in a quantitative discipline
• Inquisitivenature,abilitytoaskrightquestionsandescalateissues
• Excellentcommunicationskills(writtenandverbal)
• Goodunderstandingof optionpricingtheory(i.e.quantitativemodelsforpricingandhedgingderivatives)
• Good coding skills, for example in C/C++or Python
• 3+ years in a FO or model risk quantitative role.

Preferred qualifications, capabilities, and skills

• ExperiencewithRates derivatives