Model Analysis Sr. Group Manager - Equity & Hybrids derivative pricing models
Queens County, NY
Validate and model risk manage Equity&Hybrids derivative pricing models for Trading and Hedges. This position requires strong derivative pricing skills along with relevant industry experience. Validation work will involve reviewing model assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls.
- Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
- Provide guidance to junior validators as and when necessary
- Manage stakeholder interaction with model developers and business owners during the model lifecycle.
- Represent the bank in interactions with regulatory agencies, as required.
- Present model validation findings to senior management and supervisory authorities.
- Provide effective challenge to model assumptions, mathematical formulation, and implementation
- Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
- Contribute to strategic, cross-functional initiatives within the model risk organisation.
- Minimum of Masters degree in a quantitative field (physics, mathematics,, computer science, financial engineering, etc.) with 4+ years of relevant experience.
- Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Masters degree, CPA or CFA
- Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation, ideally experience in modeling of Equity derivative products
- Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in C++/python).
- Strong communication skills with the ability to find practical solutions to challenging problems
- Team work and commitment a must.
Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US
Time Type :Full time
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