Rates Equity Quant -Vice President

Quant Blueprint LLC; Mumbai; On-site; INR 2,500,000 - 3,500,000; Full time

Job summary

Quant Blueprint LLC is hiring a Quant Model Risk Vice President in Mumbai, India. This role involves assessing and mitigating model risk across various business areas, providing guidance on model usage, and managing a junior team.

The ideal candidate will have substantial experience in model risk management, with strong skills in probability theory and coding in C/C++ or Python. The position requires exceptional communication skills and the ability to engage with complex pricing models.

Qualifications

• Significant experience in a front-office or model risk quantitative role.
• Excellence in probability theory, stochastic processes, and numerical analysis.
• Ability to ask the right questions and escalate issues.

Responsibilities

• Analyze conceptual soundness of complex pricing models and assess model behavior.
• Liaise with model developers and provide guidance on model risk.
• Evaluate model performance regularly and manage junior team members.

Skills

Probability theory

Stochastic processes

Statistics

Numerical analysis

C/C++ coding

Python coding

Communication skills

Education

MSc or PhD in a quantitative discipline

Job description

Overview

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 exposure to a variety of business and functional areas and 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 front-office 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

Preferred qualifications, capabilities, and skills

• Experience with interest rates derivatives