Quant Modeling Assoc, Risk – Portfolio Risk Modeling

Quant Blueprint LLC; Bengaluru; On-site; USD 150,000 - 200,000; Full time

Job summary

Quant Blueprint LLC is seeking a Quant Model Risk Vice President to manage model risk within the Interest Rates team. This role involves oversight of complex models related to valuation and risk management.

The ideal candidate has significant experience in model risk, expertise in quantitative disciplines, and strong communication skills. This position provides opportunities for mentoring junior team members and collaborating with various business areas.

Qualifications

• Significant experience in a FO or model risk quantitative role.
• Excellent communication skills (written and verbal).
• Inquisitive nature and ability to elevate issues.

Responsibilities

• Analyze conceptual soundness of complex pricing models.
• Provide guidance on model usage and act as first point of contact.
• Develop and implement alternative model benchmarks.

Skills

Model risk management

Probability theory

Statistics

Numerical analysis

C/C++ or Python coding

Option pricing theory

Education

MSc, PhD or equivalent in a quantitative discipline

Job description

We are looking for a new member to join our Interest Rates team in the Model Risk Governance and Review Group which is responsible for end‑to‑end model risk management across the firm.

As a Quant Model Risk Vice President in the Model Risk Governance team, 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 area as well as will work closely with model developers and users.

You will also have managerial responsibility to oversee, train and mentor junior members of the team.

Job responsibilities

• Carry 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.
• Provide 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.
• Liaise with model developers, Risk and Valuation Control Groups and provide guidance on model risk.
• Evaluate model performance on a regular basis.
• Manage and develop junior members of the team.

Required qualifications, capabilities, and skills

• Significant experience 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 elevate 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.

Preferred qualifications, capabilities, and skills

• Experience with interest rates derivatives.